Timeline for Should interactions also be scaled in LASSO/Ridge, or just constituent covariates?
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| Dec 12 at 13:34 | comment | added | Frank Harrell |
It's along those lines. I present more complicated examples here for a semiparametric model, e.g., putting a restriction on the amount of nonlinearity that a curve has in a given interval. The Stan statistical modeling system makes this all possible, supplemented by code that allows you to specify priors through contrasts.
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| Dec 12 at 12:50 | comment | added | Sextus Empiricus | "providing prior distributions for differences in predicted values" this is not directly clear and the provided link is a long text. Can I see this as a sort of reparameterisation where the prior probability of the parameters is computed by a transformation that considers the predictions that these parameters make? While it is an intuitive thought, the execution of such transformations sounds difficult. A concrete example would be to consider a model $y_i = \beta_0 + \beta_1 x_i$ and instead of describing a prior for the $\beta_i$ we describe a prior for the $y_i$? | |
| Dec 12 at 11:53 | history | answered | Frank Harrell | CC BY-SA 4.0 |