BSGS.Sample: Sample version of group-wise Gibbs sampler for sparse group...

In BSGS: Bayesian Sparse Group Selection

Description

Generate the posterior samples by an approximation sampling method to perform Bayesian sparse group selection to identify the important groups of variables and variables within those.

Usage

BSGS.Sample(Y, X, Group.Index, r.value, eta.value, beta.value, tau2.value, 
rho.value, theta.value, sigma2.value, nu, lambda, Num.of.Iter.Inside.CompWise, 
Num.Of.Iteration, MCSE.Sigma2.Given)

Arguments

Y	vector of observations of length n.
X	design matrix of dimension n \times p.
Group.Index	Specify the group label to which the variable belongs.
r.value	Initial values of indicator variables for individual variables.
eta.value	Initial values of indicator variables for the group variables.
beta.value	Initial values of regression coefficients, β.
tau2.value	Variance in the prior distribution for regression coefficients.
rho.value	Prior inclusion probability for a variable.
theta.value	Prior inclusion probability for a group.
sigma2.value	Initial value of σ^2.
nu	The hyperparameter in the prior distribution of σ^2.
lambda	The hyperparameter in the prior distribution of σ^2.
Num.of.Iter.Inside.CompWise	Specify the number of iterations within component wise Gibbs sampler for variable selection within a group.
Num.Of.Iteration	Specify the number of iterations for sparse group variable selection.
MCSE.Sigma2.Given	Prespecified value which is used to stop simulating samples. When the MCSE of estimate of σ^2 less than the given value, the simulation is terminated.

Value

A list is returned with posterior random samples of regression coefficients, β, binary variables for group selection, η, binary variables for variable selection, γ, variance, σ^2 and the number of iterations performed and the elapsed time in second required for the run.

Examples

## Not run: 
output = BSGS.Sample(Y, X, Group.Index, r.value, eta.value, beta.value, tau2.value, 
	rho.value, theta.value, sigma2.value, nu, lambda, 
	Num.of.Iter.Inside.CompWise, Num.Of.Iteration, MCSE.Sigma2.Given)

## End(Not run)

BSGS documentation built on May 2, 2019, 4:21 a.m.