`ncvreg`

is an R package for fitting regularization paths for linear regression, GLM, and Cox regression models using lasso or nonconvex penalties, in particular the minimax concave penalty (MCP) and smoothly clipped absolute deviation (SCAD) penalty, with options for additional L_{2} penalties (the “elastic net” idea). Utilities for carrying out cross-validation as well as post-fitting visualization, summarization, inference, and prediction are also provided.

This vignette offers a brief introduction to the basic use of `ncvreg`

. For more details on the package, visit the `ncvreg`

website at http://pbreheny.github.io/ncvreg and follow the links under “Learn more”. For more on the algorithms used by `ncvreg`

, see the original article:

For more about the marginal false discovery rate idea used for post-selection inference, see

`ncvreg`

comes with a few example data sets; we’ll look at `Prostate`

, which has 8 features and one continuous response, the PSA levels (on the log scale) from men about to undergo radical prostatectomy:

To fit a penalized regression model to this data:

The default penalty here is the minimax concave penalty (MCP), but SCAD and lasso penalties are also available. This produces a path of coefficients, which we can plot with

Notice that variables enter the model one at a time, and that at any given value of \(\lambda\), several coefficients are zero. To see what the coefficients are, we could use the `coef`

function:

```
coef(fit, lambda=0.05)
# (Intercept) lcavol lweight age lbph svi
# 0.35121089 0.53178994 0.60389694 -0.01530917 0.08874563 0.67256096
# lcp gleason pgg45
# 0.00000000 0.00000000 0.00168038
```

The `summary`

method can be used for post-selection inference:

```
summary(fit, lambda=0.05)
# MCP-penalized linear regression with n=97, p=8
# At lambda=0.0500:
# -------------------------------------------------
# Nonzero coefficients : 6
# Expected nonzero coefficients: 2.54
# Average mfdr (6 features) : 0.424
#
# Estimate z mfdr Selected
# lcavol 0.53179 8.880 < 1e-04 *
# svi 0.67256 3.945 0.010189 *
# lweight 0.60390 3.666 0.027894 *
# lbph 0.08875 1.928 0.773014 *
# age -0.01531 -1.788 0.815269 *
# pgg45 0.00168 1.160 0.917570 *
```

In this case, it would appear that `lcavol`

, `svi`

, and `lweight`

are clearly associated with the response, even after adjusting for the other variables in the model, while `lbph`

, `age`

, and `pgg45`

may be false positives included simply by chance.

Typically, one would carry out cross-validation for the purposes of assessing the predictive accuracy of the model at various values of \(\lambda\):

The value of \(\lambda\) that minimizes the cross-validation error is given by `cvfit$lambda.min`

, which in this case is 0.017. Applying `coef`

to the output of `cv.ncvreg`

returns the coefficients at that value of \(\lambda\):

```
coef(cvfit)
# (Intercept) lcavol lweight age lbph svi
# 0.494154801 0.569546027 0.614419811 -0.020913467 0.097352536 0.752397339
# lcp gleason pgg45
# -0.104959403 0.000000000 0.005324465
```

Predicted values can be obtained via `predict`

, which has a number of options:

```
predict(cvfit, X=head(X)) # Prediction of response for new observations
# 1 2 3 4 5 6
# 0.8304040 0.7650906 0.4262072 0.6230117 1.7449492 0.8449595
predict(cvfit, type="nvars") # Number of nonzero coefficients
# 0.01695
# 7
predict(cvfit, type="vars") # Identity of the nonzero coefficients
# lcavol lweight age lbph svi lcp pgg45
# 1 2 3 4 5 6 8
```

Note that the original fit (to the full data set) is returned as `cvfit$fit`

; it is not necessary to call both `ncvreg`

and `cv.ncvreg`

to analyze a data set. For example, `plot(cvfit$fit)`

will produce the same coefficient path plot as `plot(fit)`

above.