ncvreg fits regularization paths for linear, logistic, or Poisson regression models with nonconvex penalties, in particular the minimax concave penalty (MCP) and smoothly clipped absolute deviation (SCAD) penalty. Coordinate descent algorithms are used to fit the models.

To install:

• the latest released version: install.packages("ncvreg")
• the latest version (requires devtools): install_github("pbreheny/ncvreg")