hsstan

CRANhsstanMaRDI QIDQ86315FDOQ86315

Hierarchical Shrinkage Stan Models for Biomarker Selection

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

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

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