Feature importance - Bayesian model with horseshoe prior

frequena · January 27, 2022, 12:32pm

Hello everyone! I trained a Bayesian glm model with a horseshoe prior distribution. My dependent variable is categorical with two possible values (positive and negative). I am interested to know how to perform a feature importance analysis and find the features with the highest discriminating power between these two groups.

Thank you!!

avehtari · February 1, 2022, 6:08pm

Hi
have you looked at the examples at Model assesment, selection and inference after selection | avehtari.github.io ? For example, diabetes case study: Bayesian Logistic Regression with rstanarm

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Feature importance - Bayesian model with horseshoe prior

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