savvyPR: Savvy Parity Regression Model Estimation with 'savvyPR'

Implements the Savvy Parity Regression 'savvyPR' methodology for multivariate linear regression analysis. The package solves an optimization problem that balances the contribution of each predictor variable to ensure estimation stability in the presence of multicollinearity. It supports two distinct parameterization methods, a Budget-based approach that allocates a fixed loss contribution to each predictor, and a Target-based approach (t-tuning) that utilizes a relative elasticity weight for the response variable. The package provides comprehensive tools for model estimation, risk distribution analysis, and parameter tuning via cross-validation (PR1, PR2, and PR3 model types) to optimize predictive accuracy. Methods are based on Asimit, Chen, Ichim and Millossovich (2026) <https://openaccess.city.ac.uk/id/eprint/37017/>.

install.packages("savvyPR")

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