Compute Weights Using SCAD-Penalized Regression

Fits a SCAD-penalized linear regression model via `ncvreg::cv.ncvreg` and returns the coefficient vector at `lambda.min`.

Usage

scadWeights(X, y, nfolds = 5, ...)

Arguments

X

A numeric matrix of predictors.

y

A numeric response vector.

nfolds

Number of cross-validation folds. Default is 5.

...

Additional arguments passed through to `ncvreg::cv.ncvreg`.

Value

A numeric vector of length `ncol(X)` of variant weights.