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savvyGLM  

Generalized Linear Models with Slab and Shrinkage Estimators
View on CRAN: Click here


Download and install savvyGLM package within the R console
Install from CRAN:
install.packages("savvyGLM")

Install from Github:
library("remotes")
install_github("cran/savvyGLM")

Install by package version:
library("remotes")
install_version("savvyGLM", "0.1.3")



Attach the package and use:
library("savvyGLM")
Maintained by
Ziwei Chen
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2026-05-03
Latest Update: 2026-05-03
Description:
Provides a flexible framework for fitting generalized linear models (GLMs) with slab and shrinkage estimators. Methods include the Stein estimator (St), Diagonal Shrinkage (DSh), Simple Slab Regression (SR), Generalized Slab Regression (GSR), Ledoit-Wolf Linear Shrinkage (LW), Quadratic-Inverse Shrinkage (QIS), and Shrinkage (Sh), all integrated into the iteratively reweighted least squares (IRLS) algorithm. This approach enhances estimation accuracy, convergence, and robustness in the presence of multicollinearity. The best-fitting model is selected based on the Akaike Information Criterion (AIC). Methods are related to methods described in Marschner (2011) <doi:10.32614/RJ-2011-012>, Asimit et al. (2025) <https://openaccess.city.ac.uk/id/eprint/35005/>, Ledoit and Wolf (2004) <doi:10.1016/S0047-259X(03)00096-4>, and Ledoit and Wolf (2022) <doi:10.3150/20-BEJ1315>.
How to cite:
Ziwei Chen (2026). savvyGLM: Generalized Linear Models with Slab and Shrinkage Estimators. R package version 0.1.3, https://cran.r-project.org/web/packages/savvyGLM. Accessed 26 Jun. 2026.
Previous versions and publish date:
0.1.1 (2026-05-02 11:10), 0.1.2 (2026-05-03 15:00), 0.1.3 (2026-05-03 16:50)
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Complete documentation for savvyGLM
Functions, R codes and Examples using the savvyGLM R package
Full savvyGLM package functions and examples
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