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stan-dev / projpred

Projection predictive variable selection
https://mc-stan.org/projpred/
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Remove QR=TRUE from the vignette #491

Closed avehtari closed 5 months ago

avehtari commented 6 months ago

vignettes/projpred.Rmd defines the reference model using RHS prior and QR=TRUE, but QR=TRUE should not be used in the combination with RHS or other (weakly) informative prior as stated by RStanArm doc https://mc-stan.org/rstanarm/reference/QR-argument.html

However, because when QR is TRUE the prior argument applies to the coefficients relative to Q∗ (and those are not very interpretable), setting QR=TRUE is only recommended if you do not have an informative prior for the regression coefficients or if the only informative prior is on the last regression coefficient (in which case you should set autoscale = FALSE when specifying such priors).

Thus QR=TRUE should be removed when prior=hs(...)