Sparse Projected Averaged Regression

A flexible framework combining variable screening and random projection techniques for fitting ensembles of predictive generalized linear models to high-dimensional data. Designed for extensibility, the package implements key techniques as S3 classes with user-friendly constructors, enabling easy integration and development of new procedures for high-dimensional applications.

spareg

spareg is an R package for building ensembles of predictive generalized linear models tailored for high-dimensional data. It leverages a powerful combination of variable screening and random projection techniques to efficiently tackle large-scale modeling problems.

Features

• Efficient modeling with large predictor sets
• Modular S3 architecture for screening and projection techniques
• Competitive predictive performance with low computational cost
• Extensible framework for custom screening and projection methods

Installation

You can install the development version of spareg from GitHub:

# install.packages("devtools")
devtools::install_github("lauravana/spareg")

The CRAN version can be installed with

install.packages("spareg")