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2012 Nov 26
0
ncvreg question
To whom It May Concern, I am working on a dimensional reduction problem using Smoothly Clipped Asolute Deviation (SCAD) Penalty according to "Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties, J.Fan and R. Li, JASA, Dec 2001". I found an R package named *"ncvreg*" which is capable to perform this variable selection procedure. I noctice, in