hsstan

MaRDI QIDQ86315CRANFDO

Authors Paul McKeigue, Marco Colombo

Last update 13 January 2024

Copyright license GNU General Public License, version 3.0

Software version identifier 0.8.1, 0.6, 0.7, 0.8, 0.8.2

Description

Linear and logistic regression models penalized with hierarchical shrinkage priors for selection of biomarkers (or more general variable selection), which can be fitted using Stan (Carpenter et al. (2017) <doi:10.18637/jss.v076.i01>). It implements the horseshoe and regularized horseshoe priors (Piironen and Vehtari (2017) <doi:10.1214/17-EJS1337SI>), as well as the projection predictive selection approach to recover a sparse set of predictive biomarkers (Piironen, Paasiniemi and Vehtari (2020) <doi:10.1214/20-EJS1711>).

Cites work

• Projective inference in high-dimensional problems: Prediction and feature selection
• Sparsity information and regularization in the horseshoe and other shrinkage priors
• Stan: A Probabilistic Programming Language

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