monomvn: Estimation for Multivariate Normal and Student-t Data with Monotone Missingness
Version 1.9-7

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
URL http://bobby.gramacy.com/r_packages/monomvn
Package repositoryView on CRAN
InstallationInstall the latest version of this package by entering the following in R:
install.packages("monomvn")

Getting started

Package overview

Popular man pages

blasso: Bayesian Lasso/NG, Horseshoe, and Ridge Regression
bmonomvn: Bayesian Estimation for Multivariate Normal Data with...
cement: Hald's Cement Data
metrics: RMSE, Expected Log Likelihood and KL Divergence Between Two...
monomvn-package: Estimation for Multivariate Normal and Student-t Data with...
plot.monomvn: Plotting bmonomvn output
randmvn: Randomly Generate a Multivariate Normal Distribution
See all...

All man pages Function index File listing

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

Functions

Files

src
src/rgig.c
src/matrix.c
src/Makevars
src/rhelp.c
src/blasso.h
src/linalg.c
src/hshoe.h
src/rgig.h
src/hshoe.c
src/util.f
src/bmonomvn.h
src/nu.h
src/ustructs.cc
src/bmonomvn.cc
src/blasso.cc
src/rhelp.h
src/solve.QP.f
src/linalg.h
src/ustructs.h
src/nu.c
src/matrix.h
NAMESPACE
data
data/returns.rda
data/market.test.rda
data/market.rda
data/cement.rda
data/returns.test.rda
data/cement.miss.rda
R
R/blasso.R
R/regress.R
R/addy.R
R/randmvn.R
R/default.QP.R
R/regress.ridge.R
R/regress.ls.R
R/regress.fact.R
R/rmono.R
R/kl.norm.R
R/regress.pls.R
R/monomvn.R
R/regress.lars.R
R/util.R
R/bmonomvn.R
R/rwish.R
R/bmonomvn.traces.R
R/blasso.s3.R
R/monomvn.s3.R
MD5
DESCRIPTION
ChangeLog
man
man/monomvn.solve.QP.Rd
man/metrics.Rd
man/blasso.s3.Rd
man/monomvn.s3.Rd
man/rmono.Rd
man/bmonomvn.Rd
man/cement.Rd
man/randmvn.Rd
man/monomvn-package.Rd
man/plot.monomvn.Rd
man/monomvn.Rd
man/returns.Rd
man/monomvn-internal.Rd
man/default.QP.Rd
man/blasso.Rd
man/regress.Rd
man/rwish.Rd
monomvn documentation built on May 20, 2017, 5:41 a.m.

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