sample_lm_ridge: Sample linear regression parameters assuming a ridge prior

In countSTAR: Flexible Modeling of Count Data

Sample linear regression parameters assuming a ridge prior

Description

Sample the parameters for a linear regression model assuming a ridge prior for the (non-intercept) coefficients. The number of predictors p may exceed the number of observations n.

Usage

sample_lm_ridge(y, X, params, A = 10^4, XtX = NULL, X_test = NULL)

Arguments

y	n x 1 vector of data
X	n x p matrix of predictors
params	the named list of parameters containing mu: vector of conditional means (fitted values) sigma: the conditional standard deviation coefficients: a named list of parameters that determine mu
A	the prior scale for sigma_beta, which we assume follows a Uniform(0, A) prior.
XtX	the p x p matrix of crossprod(X) (one-time cost); if NULL, compute within the function
X_test	matrix of predictors at test points (default is NULL)

Value

The updated named list params with draws from the full conditional distributions of sigma and coefficients (along with updated mu and mu_test if applicable).

Note

The parameters in coefficients are:

• beta: the p x 1 vector of regression coefficients

• sigma_beta: the prior standard deviation for the (non-intercept) components of beta

countSTAR documentation built on July 9, 2023, 5:12 p.m.