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

Estimation of multivariate normal (MVN) and student-t data of arbitrary dimension where the pattern of missing data is monotone. See Pantaleo and Gramacy (2010) <doi:10.1214/10-BA602>. 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.

Package details

AuthorRobert B. Gramacy <>, with Fortran contributions from Cleve Moler (dpotri/LINPACK) as updated by Berwin A. Turlach (qpgen2/quadprog)
MaintainerRobert B. Gramacy <>
Package repositoryView on CRAN
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monomvn documentation built on Dec. 1, 2019, 1:10 a.m.