spar: Sparse Projected Averaged Regression in R
Roman Parzer, Laura Vana-Gür, Peter Filzmoser · arXiv (Cornell University) · 2024
Package spar for R builds ensembles of predictive generalized linear models with high-dimensional predictors. It employs an algorithm utilizing variable screening and random projection tools to efficiently handle the computational challenges associated with large sets of predictors. The package is designed with a strong focus on extensibility. Screening and random projection techniques are implemented as S3 classes with user-friendly constructor functions, enabling users to easily integrate and develop new procedures. This design enhances the package's adaptability and makes it a powerful tool for a variety of high-dimensional applications.