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:
- Added support for GAMMs via
- Added support for GLMMs via
- Big refactor of the whole internal structure to be more modular and extensible, which will hopefully allow faster feature updates in subsequent rounds.
- 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.