What is the Sum of Single Effects (SuSiE) model?
masterThe susieR package implements the "Sum of Single Effects" (SuSiE) model for variable selection in multiple regression ($y=Xb+e$).
Key Characteristics:
- Use Case: Particularly well-suited for settings where $X$ variables are highly correlated and the true effects are highly sparse (e.g., <20 non-zero effects).
- Fitting Procedure: Uses "Iterative Bayesian Step-wise Selection", which is a Bayesian modification of simple forward selection.
- Output: Produces "Credible Sets" (CSs). A Credible Set is a group of highly correlated variables that have a high probability of containing at least one variable with a non-zero effect, while remaining as small as possible.