This function fits a generalized linear model or a Cox proportional hazards model via penalized maximum likelihood, with available penalties as indicated in the glmnet and ncvreg packages. Instead of providing the whole regularization solution path, the function returns the solution at a unique value of λ, the one optimizing the criterion specified in tune.
This function first implements the Iterative Sure Independence Screening for different variants of (I)SIS, and then fits the final regression model using the R packages ncvreg and glmnet for the SCAD/MCP/LASSO regularized loglikelihood for the variables picked by (I)SIS.