horseshoe: Implementation of the Horseshoe Prior

Contains functions for applying the horseshoe prior to high- dimensional linear regression, yielding the posterior mean and credible intervals, amongst other things. The key parameter tau can be equipped with a prior or estimated via maximum marginal likelihood estimation (MMLE). The main function, horseshoe, is for linear regression. In addition, there are functions specifically for the sparse normal means problem, allowing for faster computation of for example the posterior mean and posterior variance. Finally, there is a function available to perform variable selection, using either a form of thresholding, or credible intervals.

Author
Stephanie van der Pas [cre, aut], James Scott [aut], Antik Chakraborty [aut], Anirban Bhattacharya [aut]
Date of publication
2016-11-08 18:36:01
Maintainer
Stephanie van der Pas <svdpas@math.leidenuniv.nl>
License
GPL-3
Version
0.1.0

View on CRAN

Man pages

Basic.integrand
Helper function for computing the posterior mean, posterior...
Basic.y
Helper function for computing the posterior mean, posterior...
Basic.y.vec
Helper function for computing the posterior mean, posterior...
horseshoe
Function to implement the horseshoe shrinkage prior in...
HS.MMLE
MMLE for the horseshoe prior for the sparse normal means...
HS.normal.means
The horseshoe prior for the sparse normal means problem
HS.post.mean
Posterior mean for the horseshoe for the normal means...
HS.post.var
Posterior variance for the horseshoe for the normal means...
HS.var.select
Variable selection using the horseshoe prior

Files in this package

horseshoe
horseshoe/NAMESPACE
horseshoe/NEWS.md
horseshoe/R
horseshoe/R/HS_normal_means.R
horseshoe/R/HS_var_select.R
horseshoe/R/Helper_functions.R
horseshoe/R/HS_MMLE.R
horseshoe/R/HS_post_mean.R
horseshoe/R/horseshoe.R
horseshoe/R/HS_post_var.R
horseshoe/MD5
horseshoe/DESCRIPTION
horseshoe/man
horseshoe/man/HS.post.var.Rd
horseshoe/man/HS.var.select.Rd
horseshoe/man/HS.MMLE.Rd
horseshoe/man/HS.normal.means.Rd
horseshoe/man/Basic.y.vec.Rd
horseshoe/man/Basic.integrand.Rd
horseshoe/man/horseshoe.Rd
horseshoe/man/HS.post.mean.Rd
horseshoe/man/Basic.y.Rd