Section: New Software and Platforms

CorReg package for correlated variables in regression

Participants : Christophe Biernacki, Clément Théry.

The main idea of the CorReg package is to consider some form of sub-regression models, some variables defining others. We can then remove temporarily some of the variables to overcome ill-conditioned matrices inherent in linear regression and then reinject the deleted information, based on the structure that links the variables. The final model therefore takes into account all the variables but without suffering from the consequences of correlations between variables or high dimension. The CorReg package is now available on CRAN (http://cran.r-project.org/web/packages/CorReg/index.html ) and graphical functionalities have been added in 2014. It has been presented to a conference [32] and is currently written as a research paper [51] . It is a joint work with Gaétan Loridant.