BoomSpikeSlab: MCMC for Spike and Slab Regression

Spike and slab regression with a variety of residual error distributions corresponding to Gaussian, Student T, probit, logit, SVM, and a few others. Spike and slab regression is Bayesian regression with prior distributions containing a point mass at zero. The posterior updates the amount of mass on this point, leading to a posterior distribution that is actually sparse, in the sense that if you sample from it many coefficients are actually zeros. Sampling from this posterior distribution is an elegant way to handle Bayesian variable selection and model averaging. See <DOI:10.1504/IJMMNO.2014.059942> for an explanation of the Gaussian case.

Getting started

Package details

AuthorSteven L. Scott <steve.the.bayesian@gmail.com>
MaintainerSteven L. Scott <steve.the.bayesian@gmail.com>
LicenseLGPL-2.1 | file LICENSE
Version1.2.3
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("BoomSpikeSlab")

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BoomSpikeSlab documentation built on May 1, 2020, 9:07 a.m.