In clinical settings, we often face the challenge of building prediction models based on small observational data sets. For example, such a data set might be from a medical center in a multi-center study. Differences between centers might be large, thus requiring specific models based on the data set from the target center. Still, we want to borrow information from the external centers, to deal with small sample sizes. There are approaches that either assign weights to each external data set or each external obser…