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stan-dev / projpred

Projection predictive variable selection
https://mc-stan.org/projpred/
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Make default of `alpha = 0.32` more accurate #371

Closed fweber144 closed 1 year ago

fweber144 commented 1 year ago

For the changes by this PR, see the new NEWS.md entry:

In plot.vsel() and summary.vsel(), the default of alpha = 0.32 is replaced by alpha = 2 * pnorm(-1) (= 1 - diff(pnorm(c(-1, 1))), which is only approximately 0.32) so that now, a normal-approximation confidence interval with default alpha stretches by exactly one standard error on either side of the point estimate. (In at least one case, the former default even led to a different suggested size than the confidence interval calculated manually based on the standard error.)