I am running a Bayesian Beta regression using the R package betaBayes is it possible to add a shrinkage prior such as the 'horseshoe' prior. I see in the package documentation the ability to give the support for the prior but I am not quite sure how to code a shrinkage prior to help with feature selection.
I don't think you can specify a shrinkage prior in the betaBayes package.
One alternative is to use the stan_betareg function from the rstanarm package which does Bayesian beta regression using an MCMC engine and supports hierarchical shrinkage priors out of the box.