projpred

The R package projpred performs the projection predictive variable selection for various regression models. Usually, the reference model will be an rstanarm or brms fit, but custom reference models can also be used. Details on supported model types are given in section “Supported types of models” of the main vignette¹.

For details on how to cite projpred, see the projpred citation info on CRAN². Further references (including earlier work that projpred is based on) are given in section “Introduction” of the main vignette.

The vignettes³ illustrate how to use the projpred functions in conjunction. Details on the projpred functions as well as some shorter examples may be found in the documentation⁴.

Installation

There are two ways for installing projpred: from CRAN or from GitHub. The GitHub version might be more recent than the CRAN version, but the CRAN version might be more stable.

From CRAN

install.packages("projpred")

From GitHub

This requires the devtools package, so if necessary, the following code will also install devtools (from CRAN):

if (!requireNamespace("devtools", quietly = TRUE)) {
  install.packages("devtools")
}
devtools::install_github("stan-dev/projpred", build_vignettes = TRUE)

To save time, you may omit build_vignettes = TRUE.