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Various R packages have been developed for the non-convex penalizedestimation but they can only be applied to the smoothly clipped absolutedeviation (SCAD) or minimax concave penalty (MCP). We develop an R package,entitled ncpen, for the non-convex penalized estimation in order to make dataanalysts to experience other non-convex penalties. The package ncpen implementsa unified algorithm based on the convex concave procedure and modified localquadratic approximation algorithm, which can be applied to a broader range ofnon-convex penalties, including the SCAD and MCP as special examples. Manyuser-friendly functionalities such as generalized information criteria,cross-validation and L2-stabilization are provided also.

A unified algorithm for the non-convex penalized estimation: The ncpen package