Feature request: a table/plot of K-L divergences

[richardfeldman76]

Using projpred for variable selection, it strikes me as odd that it is easy to compare different sized models (e.g., via plot.vsel), but no way of comparing different variable sets for a given model size. For example, for a reference model of y ~ A + B + C, we can visualize the CV results (e.g., ELPD, RMSE) of models, y ~ A, y ~ A + B, and y ~ A + B + C, but we cannot see how models y ~ A + B, y ~ A + C, and y ~ B + C stack up against each other. It would be nice to be able to extract a table or plot of each model's K-L divergence values.

[fweber144]

Yes, thank you for creating the issue.