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Add LFO-CV to projpred #467

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Add LFO-CV to projpred #467

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yannmclatchie
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This PR brings to projpred:

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

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fweber144 commented Oct 26, 2023 •
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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
Add alias forced_search_terms() for force_search_terms().
11ba4c8
@fweber144
Add function ordered_search_terms().
190d0bc
@fweber144
Docs: Use a consistent location for arguments of functions documented…
186047b 
… via `@rdname`.
@fweber144
In R, using T as an object name is bad practice (because T is ide…
62276ef 
…ntical to `TRUE`).
@fweber144
Docs: Minor enhancements; add TODOs.
e852590
@fweber144
fixup! In R, using T as an object name is bad practice (because T…
bdb6475 
… is identical to `TRUE`).
@fweber144
Use a consistent naming scheme for the validate_num_folds[_lfo]() f…
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…unctions.
@fweber144
Use a consistent argument order for the validate_num_folds[_lfo]() …
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…functions.
@fweber144
lfo_folds() doesn't involve PRNG, so seed-related code is removed h…
5c44bd9 
…ere.
@fweber144
lfo_folds(): Fix a bug.
8900dd0
@fweber144
Fix typos in internal documentation.
5c19f7d
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fweber144 commented Oct 26, 2023 •
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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?

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@yannmclatchie @fweber144