Add LFO-CV to projpred - Githubissues

stan-dev / projpred

Projection predictive variable selection

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

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Add LFO-CV to projpred #467

Open yannmclatchie opened 11 months ago

yannmclatchie commented 11 months ago

This PR brings to projpred:

a new ordered search method, where we simply append the next predictor in time; and,
one-step-ahead LFO-CV for submodel validation.

fweber144 commented 11 months ago

Just for future reference: The following shouldn't be forgotten before merging:

[ ] Unit tests
[ ] NEWS.md entry (also mentioning you and possibly other contributors)
[ ] Perhaps add a new vignette?

fweber144 commented 11 months ago

I think we should mention somewhere that within projpred, "LFO CV" actually means "1-SAP-LFO CV" (one-step-ahead prediction [or predictive?] leave-future-out cross-validation). Perhaps in the docs as well as in the NEWS.md entry?