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Add option for pseudovariance in R2D2 prior #1576

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avehtari opened this issue Dec 21, 2023 · 2 comments
Open

Add option for pseudovariance in R2D2 prior #1576

avehtari opened this issue Dec 21, 2023 · 2 comments
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@avehtari
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For Gaussian family, R2D2 scales with sigma. For non-Gaussian families, the scaling is fixed to 1. In case of non-Gaussian exponential family, RHS paper https://projecteuclid.org/euclid.ejs/1513306866 recommends scaling with pseudovariance. It would be nice to have an option to set that pseudovariance, as for example in case of Bernoulli model, the same prior on latent space R^2 leads to different priors on outcome probabilities depending on the used pseudovariance.

@paul-buerkner
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Good idea. Will check it out!

@wds15
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wds15 commented Jan 10, 2024

The same would be very useful for the horseshoe priors as well, I guess, no?

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