projpred

CRANprojpredMaRDI QIDQ64915

Projection Predictive Feature Selection

Frank Weber, Juho Piironen, Alejandro Catalina, Markus Paasiniemi, Aki Vehtari

Last update: 15 December 2023

Copyright license: GNU General Public License, version 3.0, File License

Software version identifier: 2.5.0, 0.7.0, 0.8.0, 1.0.0, 1.1.0, 1.1.1, 1.1.2, 1.1.4, 1.1.5, 1.1.6, 2.0.0, 2.0.2, 2.1.0, 2.1.1, 2.1.2, 2.2.0, 2.2.1, 2.2.2, 2.3.0, 2.4.0, 2.6.0, 2.7.0, 2.8.0

Description

Performs projection predictive feature selection for generalized linear models (Piironen, Paasiniemi, and Vehtari, 2020, <doi:10.1214/20-EJS1711>) with or without multilevel or additive terms (Catalina, Bürkner, and Vehtari, 2022, <https://proceedings.mlr.press/v151/catalina22a.html>), for some ordinal and nominal regression models (Weber, Glass, and Vehtari, 2023, <arXiv:2301.01660>), and for many other regression models (using the latent projection by Catalina, Bürkner, and Vehtari, 2021, <arXiv:2109.04702>, which can also be applied to most of the former models). The package is compatible with the 'rstanarm' and 'brms' packages, but other reference models can also be used. See the vignettes and the documentation for more information and examples.

Cites work

• Projective inference in high-dimensional problems: Prediction and feature selection
• Projection predictive variable selection for discrete response families with finite support
• Latent space projection predictive inference

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