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