Projection predictive variable selection using Stan+R

TL;DR

This paper demonstrates how to perform projection predictive variable selection using Stan for model fitting and R for variable selection, building on previous work comparing different strategies.

Contribution

It provides a practical example of implementing projection predictive variable selection with Stan and R, illustrating the process in detail.

Findings

Effective variable selection with projection predictive framework

Integration of Stan and R for streamlined analysis

Guidance on applying the method in practice

Abstract

This document is additional material to our previous study comparing several strategies for variable subset selection. Our recommended approach was to fit the full model with all the candidate variables and best possible prior information, and perform the variable selection using the projection predictive framework. Here we give an example of performing such an analysis, using Stan for fitting the model, and R for the variable selection.