monomvn: Estimation for Multivariate Normal and Student-t Data with Monotone Missingness

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Estimation of multivariate normal and student-t data of arbitrary dimension where the pattern of missing data is monotone. Through the use of parsimonious/shrinkage regressions (plsr, pcr, lasso, ridge, etc.), where standard regressions fail, the package can handle a nearly arbitrary amount of missing data. The current version supports maximum likelihood inference and a full Bayesian approach employing scale-mixtures for Gibbs sampling. Monotone data augmentation extends this Bayesian approach to arbitrary missingness patterns. A fully functional standalone interface to the Bayesian lasso (from Park & Casella), Normal-Gamma (from Griffin & Brown), Horseshoe (from Carvalho, Polson, & Scott), and ridge regression with model selection via Reversible Jump, and student-t errors (from Geweke) is also provided.

Author
Robert B. Gramacy <rbgramacy@chicagobooth.edu>
Date of publication
2016-02-11 00:43:05
Maintainer
Robert B. Gramacy <rbgramacy@chicagobooth.edu>
License
LGPL
Version
1.9-6
URLs

View on CRAN

Man pages

blasso
Bayesian Lasso/NG, Horseshoe, and Ridge Regression
blasso.s3
Summarizing Bayesian Lasso Output
bmonomvn
Bayesian Estimation for Multivariate Normal Data with...
cement
Hald's Cement Data
default.QP
Generating a default Quadratic Program for bmonomvn
metrics
RMSE, Expected Log Likelihood and KL Divergence Between Two...
monomvn
Maximum Likelihood Estimation for Multivariate Normal Data...
monomvn-internal
Internal Monomvn Functions
monomvn-package
Estimation for Multivariate Normal and Student-t Data with...
monomvn.s3
Summarizing monomvn output
monomvn.solve.QP
Solve a Quadratic Program
plot.monomvn
Plotting bmonomvn output
randmvn
Randomly Generate a Multivariate Normal Distribution
regress
Switch function for least squares and parsimonious monomvn...
returns
Financial Returns data from NYSE and AMEX
rmono
Randomly Impose a Monotone Missingness Pattern
rwish
Draw from the Wishart Distribution

Files in this package

monomvn
monomvn/src
monomvn/src/rgig.c
monomvn/src/matrix.c
monomvn/src/Makevars
monomvn/src/rhelp.c
monomvn/src/blasso.h
monomvn/src/linalg.c
monomvn/src/hshoe.h
monomvn/src/rgig.h
monomvn/src/hshoe.c
monomvn/src/util.f
monomvn/src/bmonomvn.h
monomvn/src/nu.h
monomvn/src/ustructs.cc
monomvn/src/bmonomvn.cc
monomvn/src/blasso.cc
monomvn/src/rhelp.h
monomvn/src/solve.QP.f
monomvn/src/linalg.h
monomvn/src/ustructs.h
monomvn/src/nu.c
monomvn/src/matrix.h
monomvn/NAMESPACE
monomvn/data
monomvn/data/returns.rda
monomvn/data/market.test.rda
monomvn/data/market.rda
monomvn/data/cement.rda
monomvn/data/returns.test.rda
monomvn/data/cement.miss.rda
monomvn/R
monomvn/R/blasso.R
monomvn/R/regress.R
monomvn/R/addy.R
monomvn/R/randmvn.R
monomvn/R/default.QP.R
monomvn/R/regress.ridge.R
monomvn/R/regress.ls.R
monomvn/R/regress.fact.R
monomvn/R/rmono.R
monomvn/R/kl.norm.R
monomvn/R/regress.pls.R
monomvn/R/monomvn.R
monomvn/R/regress.lars.R
monomvn/R/util.R
monomvn/R/bmonomvn.R
monomvn/R/rwish.R
monomvn/R/bmonomvn.traces.R
monomvn/R/blasso.s3.R
monomvn/R/monomvn.s3.R
monomvn/MD5
monomvn/DESCRIPTION
monomvn/ChangeLog
monomvn/man
monomvn/man/monomvn.solve.QP.Rd
monomvn/man/metrics.Rd
monomvn/man/blasso.s3.Rd
monomvn/man/monomvn.s3.Rd
monomvn/man/rmono.Rd
monomvn/man/bmonomvn.Rd
monomvn/man/cement.Rd
monomvn/man/randmvn.Rd
monomvn/man/monomvn-package.Rd
monomvn/man/plot.monomvn.Rd
monomvn/man/monomvn.Rd
monomvn/man/returns.Rd
monomvn/man/monomvn-internal.Rd
monomvn/man/default.QP.Rd
monomvn/man/blasso.Rd
monomvn/man/regress.Rd
monomvn/man/rwish.Rd