New projpred version (2.9.0) on CRAN

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A new projpred version (2.9.0) has been released on CRAN. The most important changes are:

  • Subsampled PSIS-LOO CV (see argument nloo of cv_varsel()) has been fixed and is not experimental anymore. Thanks to @avehtari for doing the majority of the work behind this!
  • Performance statistic "R2" (R-squared) has been added (see argument stats of summary.vsel() and plot.vsel(); argument stat of suggest_size() supports it as well). Thanks to @avehtari for suggesting and implementing this!
  • Argument type of summary.vsel() has gained options "diff.lower" and "diff.upper".
  • Argument deltas of plot.vsel() has gained option "mixed". Thanks again to @avehtari for the suggestion and a first implementation!

See the changelog for details.

Starting with this release, Osvaldo Martin is the new maintainer of projpred. Thanks for taking over!

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Thank you Frank for maintaining it as long as you have and thank you Osvaldo!

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