An R package for interactive model selection using projpred.
shinyproj depends on the circlr-package, which can be installed from github. Other dependencies should be installed automatically from CRAN.
devtools::install_github('paasim/circlr')
devtools::install_github('paasim/shinyproj')
library(rstanarm)
library(projpred)
library(shinyproj)
options(mc.cores = parallel::detectCores())
# diabetes data set from http://web.stanford.edu/~hastie/Papers/LARS/
data('df_diabetes', package = 'shinyproj')
# sparsifying prior
n <- nrow(df_diabetes)
D <- ncol(df_diabetes) - 1
# prior guess for the number of relevant variables
p0 <- 3
# scale for tau (stan_glm will automatically scale this by sigma)
tau0 <- p0/(D-p0) * 1/sqrt(n)
prior_coeff <- hs(df = 1, global_df = 1, global_scale = tau0)
# fit the full model with rstanarm using the sparsifying prior
fit <- stan_glm(y ~ ., data = df_diabetes, prior = prior_coeff)
# perform the cross-validated variable selection
fit_cv <- cv_varsel(fit)
# explore the results
varsel_explore(fit_cv)