Regression with a Large Number of Potential Explanatory Variables

Software for performing the reduction, exploratory and model selection phases of the procedure proposed by Cox, D.R. and Battey, H.S. (2017) for sparse regression when the number of potential explanatory variables far exceeds the sample size. The software supports linear regression, likelihood-based fitting of generalized linear regression models and the proportional hazards model fitted by partial likelihood.

Set of functions to perform the reduction, exploratory and model selection phases of the procedure proposed by Cox, D.R. and Battey, H.S. (2017) \doi{10.1073/pnas.1703764114}.