New update for projpred

Announcements
1

Hello everyone,

I’m very glad to announce (for all projpred enthusiasts and other interested people) that we just merged a major update to projpred's master branch (PR is here https://github.com/stan-dev/projpred/pull/60). This has been long in the making and we (@avehtari, @paul.buerkner and me) have been mentioning some of the upcoming features in several threads this past year. Biggest changes include:

  1. Added support for GAMMs via mgcv and gamm4.
  2. Added support for GLMMs via lme4.
  3. Big refactor of the whole internal structure to be more modular and extensible, which will hopefully allow faster feature updates in subsequent rounds.
  4. Added a new vignette showcasing the new functionality on GLMMs (a vignette for GAMMs is on the making).

We still have several important pending tasks, such as improving the overall documentation and remaking the vignette on custom reference models (the whole structure changed so much we have actually retired the previous vignette until we have time to write a new one).

I hope you guys find this helpful and exciting. We welcome any feedback and testers. Of course, we have been just a few people trying the whole functionality so any testing of complex models is very encouraged and welcome! Bear in mind that complex GAMM (or GLMM) non Gaussian models will take some time, especially for cross validated selection.

Finally, big thanks to both @paul.buerkner and @avehtari for their support and help that made this update possible!

Best regards,
Alejandro

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2

@AlejandroCatalina I saw in another thread that you’ve started looking into ordinal models. Is that work, in particular, a vignette I guess, in this release?

3

Is this the versions that “knows about the internal structure”?

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Yes, it knows about the formulas for GLMMs, GAMs, and GAMMs and knows how to handle the internal structure for those accordingly.

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5

It’s not yet in this release but we have indeed started working on that. We don’t have a timeframe for that in particular but it’s our current work, so hopefully not more than a few months! And if you’re following the develop branch there might be news faster of course.

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