projpred

Projection Predictive Feature Selection

Performs projection predictive feature selection for generalized linear models and generalized linear and additive multilevel models (see, Piironen, Paasiniemi and Vehtari, 2020, <https://projecteuclid.org/euclid.ejs/1589335310>, Catalina, Bürkner and Vehtari, 2020, <arXiv:2010.06994>). The package is compatible with the 'rstanarm' and 'brms' packages, but other reference models can also be used. See the package vignette for more information and examples.

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