spareg: 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. For more details see Parzer et al (2024a) <doi:10.48550/arXiv.2312.00130> and Parzer et al (2024b) <doi:10.48550/arXiv.2410.00971>.

install.packages("spareg")

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