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Simple models require minimal adjustments but come with strong assumptions, while more flexible models require significant input and tuning from researchers. We present a survival model using a Bayesian hierarchical shrinkage method that automatically determines whether each covariate should be treated as static, time\u2010varying, or excluded altogether. This approach strikes a balance between simplicity and flexibility, minimizes the need for tuning, and naturally quantifies uncertainty. The method is supported by an efficient Markov chain Monte Carlo sampler, implemented in the R package shrinkDSM. Comprehensive simulation studies and an application to a clinical dataset involving patients with adenocarcinoma of the gastroesophageal junction showcase the advantages of our approach compared to existing models.<\/jats:p>","DOI":"10.1002\/sim.70458","type":"journal-article","created":{"date-parts":[[2026,4,2]],"date-time":"2026-04-02T10:25:11Z","timestamp":1775125511000},"update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Flexible yet Sparse Bayesian Survival Models With Time\u2010Varying Coefficients and Unobserved Heterogeneity"],"prefix":"10.1002","volume":"45","author":[{"ORCID":"https:\/\/orcid.org\/0000-0001-6498-7084","authenticated-orcid":false,"given":"Peter","family":"Knaus","sequence":"first","affiliation":[{"name":"Department of Statistics Harvard University  Cambridge Massachusetts USA"},{"name":"Institute for Statistics and Mathematics Vienna University of Economics and Business  Vienna Austria"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Daniel","family":"Winkler","sequence":"additional","affiliation":[{"name":"Institute for Retailing &amp; Data Science Vienna University of Economics and Business  Vienna Austria"},{"name":"School of Marketing University of New South Wales  Kensington New South Wales Australia"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Sebastian F.","family":"Schoppmann","sequence":"additional","affiliation":[{"name":"Department of General Surgery Medical University of Vienna and Gastroesophageal Tumor Unit, Comprehensive Cancer Center (CCC)  Vienna Austria"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Gerd","family":"Jomrich","sequence":"additional","affiliation":[{"name":"Department of General Surgery Medical University of Vienna and Gastroesophageal Tumor Unit, Comprehensive Cancer Center (CCC)  Vienna Austria"}],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"311","published-online":{"date-parts":[[2026,4,2]]},"reference":[{"key":"e_1_2_12_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.2517-6161.1972.tb00899.x"},{"key":"e_1_2_12_3_1","doi-asserted-by":"publisher","DOI":"10.1080\/01621459.1958.10501452"},{"key":"e_1_2_12_4_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1097-0258(19970228)16:4<385::AID-SIM380>3.0.CO;2-3"},{"key":"e_1_2_12_5_1","doi-asserted-by":"publisher","DOI":"10.1214\/aos\/1015362185"},{"key":"e_1_2_12_6_1","doi-asserted-by":"publisher","DOI":"10.5705\/ss.2010.107"},{"key":"e_1_2_12_7_1","doi-asserted-by":"publisher","DOI":"10.2307\/2533672"},{"key":"e_1_2_12_8_1","doi-asserted-by":"publisher","DOI":"10.1093\/bioinformatics\/btl362"},{"key":"e_1_2_12_9_1","doi-asserted-by":"publisher","DOI":"10.1177\/0962280214548748"},{"key":"e_1_2_12_10_1","doi-asserted-by":"publisher","DOI":"10.1007\/978-1-4615-7397-5_1"},{"key":"e_1_2_12_11_1","doi-asserted-by":"publisher","DOI":"10.2307\/2347905"},{"key":"e_1_2_12_12_1","doi-asserted-by":"publisher","DOI":"10.1007\/s11222-009-9164-5"},{"key":"e_1_2_12_13_1","doi-asserted-by":"publisher","DOI":"10.1080\/01621459.1992.10476248"},{"key":"e_1_2_12_14_1","doi-asserted-by":"publisher","DOI":"10.1002\/sim.5921"},{"key":"e_1_2_12_15_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1541-0420.2011.01692.x"},{"key":"e_1_2_12_16_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9876.00278"},{"key":"e_1_2_12_17_1","doi-asserted-by":"publisher","DOI":"10.1002\/for.2276"},{"key":"e_1_2_12_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2018.11.006"},{"key":"e_1_2_12_19_1","doi-asserted-by":"publisher","DOI":"10.3390\/econometrics8020020"},{"key":"e_1_2_12_20_1","doi-asserted-by":"publisher","DOI":"10.1093\/acprof:oso\/9780199694587.003.0017"},{"key":"e_1_2_12_21_1","doi-asserted-by":"publisher","DOI":"10.1198\/016214508000000337"},{"key":"e_1_2_12_22_1","doi-asserted-by":"publisher","DOI":"10.1214\/10-BA507"},{"key":"e_1_2_12_23_1","first-page":"73","volume-title":"Artificial Intelligence and Statistics","author":"Carvalho C. 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