It performs very many univariate generalised linear regressions. If you specify no family of distributions the function internally checkes the type of your data and decides on the type of regression to perform. The function is written in C++ and this is why it is very fast. It can accept thousands of predictor variables. It is usefull for univariate screening. We provide no p-value correction (such as fdr or q-values); this is up to the user.
Authors: Author: Michail Tsagris and Manos Papadakis