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

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.

AuthorRobert B. Gramacy <rbg@vt.edu>
Date of publication2017-01-08 15:02:13
MaintainerRobert B. Gramacy <rbg@vt.edu>
LicenseLGPL
Version1.9-7
http://bobby.gramacy.com/r_packages/monomvn

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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

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