I strongly suggest you collaborate with a local statistician. I can think of no circumstance where multiple regression on "hundreds of thousands of variables" is anything more than a fancy random number generator.
-- Berton Gunter
R-help (February 2008) #Rstats
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RFortunes (rfortunes)'s status on Sunday, 07-Jul-2019 10:00:04 CEST RFortunes