Projection predictive input variable selection using Stan+R
This repository contains simple example codes for performing projection predictive variable selection for linear regression models using Stan+R. The method is described in detail in the document. See also our comparative study for performance evaluation of the method (Piironen and Vehtari, 2016).
You should have RStan installed. Run first
After that you can run one of the main scripts, either
Both of these will take some time to execute, but you can reduce the running time by reducing the number of samples generated by Stan (see files
Piironen, J. and Vehtari, A. (2016). Comparison of Bayesian predictive methods for model selection. Statistics and Computing (online)