This package contains the functions,
igg.normalmeans, for implementing Bayesian linear regression, sparse normal means estimation, and variable selection with the inverse gamma-gamma (IGG) prior, as introduced by Bai and Ghosh (2018) <arXiv:1710.04369>
The DESCRIPTION file:
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This package implements the IGG model for sparse Bayesian linear regression and the normal means problem. Our package performs both estimation and model selection. The
igg.normalmeans functions also returns the endpoints of the credible intervals (i.e. the 2.5th and 97.5th percentiles) for every single parameter of interest, so that uncertainty quantification can be assessed.
Ray Bai and Malay Ghosh
Maintainer: Ray Bai <firstname.lastname@example.org>
Bai, R. and Ghosh, M. (2018). "The Inverse Gamma-Gamma Prior for Optimal Posterior Contraction and Multiple Hypothesis Testing." Submitted, arXiv:1711.07635.
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