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 vignette^[1].

For details on how to cite projpred, see the projpred citation
info on
CRAN^[2]. Further references (including earlier work that projpred
is based on) are given in section
“Introduction”
of the main vignette.

The vignettes^[3] 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
documentation^[4].

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.

---

1. The main vignette can be accessed offline by typing
   vignette(topic = "projpred", package = "projpred") or—more
   conveniently—browseVignettes("projpred") within R. ↩︎

2. The citation information can be accessed offline by typing
   print(citation("projpred"), bibtex = TRUE) within R. ↩︎

3. The overview of all vignettes can be accessed offline by typing
   browseVignettes("projpred") within R. ↩︎

4. The documentation can be accessed offline using ? or help()
   within R. ↩︎