Introducing the HCmodelSets Package

I am happy to introduce the package HCmodelSets, which is now available on CRAN. This package implements the methods proposed by Cox, D.R. and Battey, H.S. (2017). In particular it performs the reduction, exploratory and model selection phases given in the aforementioned reference. The software supports linear regression, likelihood-based fitting of generalized linear regression models and the proportional hazards model fitted by partial likelihood. The standard method described in the literature to deal with sparse regression is the LASSO proposed by Tibshirani (1996), which assumes sparsity of the effects.