Re-rank lower-order interaction terms after L1 search and take permutations of main-effect terms in interactions into account when predicting with `predict.subfit()`

stan-dev / projpred

Projection predictive variable selection

https://mc-stan.org/projpred/

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Re-rank lower-order interaction terms after L1 search and take permutations of main-effect terms in interactions into account when predicting with `predict.subfit()` #420

Closed fweber144 closed 1 year ago

fweber144 commented 1 year ago

By this PR, we now automatically re-rank lower-order interaction terms after an L1 search and we also take permutations of main-effect terms (within a given interaction term) into account when predicting with predict.subfit(). See the newly added NEWS.md entries and the commit messages for details. An illustration is given by the modified unit tests.