Description Usage Arguments Details Value Author(s) Examples
This function estimates a hyperparameter alpha
, a scale parameter in Laplace denstiy. This function is for internal use called by the icmm
function.
1 |
beta |
a (p*1) matrix of regression coefficients. |
scaledfactor |
a scalar value of multiplicative factor. |
This function estimates a hyperparameter alpha
, a scale parameter in Laplace density as the mode of its full conditional distribution function.
Return a scalar value of alpha
.
Vitara Pungpapong, Min Zhang, Dabao Zhang
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 | data(simGaussian)
Y<-as.matrix(simGaussian[,1])
X<-as.matrix(simGaussian[,-1])
n<-dim(X)[1]
# Obtain initial values of beta from lasso
data(initbetaGaussian)
beta<-as.matrix(initbetaGaussian)
# Initiate alpha
alpha<-0.5
# Estimate sigma
e<-Y-X%*%beta
nz<-sum(beta[,1]!=0)
sigma<-get.sigma(Y=Y, X=X, beta=beta, alpha=alpha)
# Update alpha as the mode of its full conditional distribution function
alpha<-get.alpha(beta=beta, scaledfactor=1/(sqrt(n-1)*sum(abs(beta))/sigma))
|
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