Option to add instance weights

[xjtuxs]

Is this package available for solving the weight SCAD or MCP regreesion? That is, to solve min (y-Xb)'W(y-Xb)+ MC/SCAD penalty, where W is a diagnal matrix with w_i as the weight of i'th observation.

I attempted to run the following codes, but it seemed not to work.
fit <- ncvreg ( X, y, weights = W)

Looking forward to your relies. Thank you!

[pbreheny]

ncvreg does not currently have any options for including weights, but it would definitely be a valuable enhancement to the package. I can't promise any specific timeline, but I'll definitely leave this open and keep this improvement in mind for the next release of ncvreg.

[shuyang-stat]

Same question. Is the "weights" option available now?