'asym_laplace' is not supported by projpred
Is there a way to get around of this?
You could try the latent projection which has just been merged into
master (see Latent projection by fweber144 · Pull Request #372 · stan-dev/projpred · GitHub). However, since you are depending on brms, you will also need a slightly adapted version of brms for which I’m going to submit a PR (probably in the next few days; I can update the post here as soon as it is merged).
The brms PR for the latent-projection support has been merged (see https://github.com/paul-buerkner/brms/pull/1451), so you can now install brms from GitHub (simply take the
master branch) for getting latent-projection support.
As mentioned before, the projpred GitHub version is available at GitHub - stan-dev/projpred: Projection predictive variable selection.
The latent projection is now available in projpred’s CRAN version (2.4.0).