Mix shrinkage and normal priors for rstanarm regression coefficients


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I would like to use variable selection with some shrinkage priors in rstanarm. However, there are some regressors which I do not want to put at test here of being 0. So I would like to specify hs priors for many regressors, but not for all. Can I do that or do I have to write my own Stan program?




You can let the local scales in the hs priors be HUGE for the ones that you don’t want to shrink (much).


Uhhh… that was obvious! I totally forgot about this syntax. Thanks.