bestridge - A Comprehensive R Package for Best Subset Selection
The bestridge package is designed to provide a one-stand
service for users to successfully carry out best ridge
regression in various complex situations via the primal dual
active set algorithm proposed by Wen, C., Zhang, A., Quan, S.
and Wang, X. (2020) <doi:10.18637/jss.v094.i04>. This package
allows users to perform the regression, classification, count
regression and censored regression for (ultra) high dimensional
data, and it also supports advanced usages like group variable
selection and nuisance variable selection.