Description Usage Arguments Value Author(s) References Examples
This function implements a optimisation routine that computes the scale parameter b and selection parameter r. . Here, we assume an inverse gamma prior IG(a,b) for ψ^2 and τ^2\sim N(0,r(δ)ψ^2) and given shape paramter a, such that approximately P(f(x)≤ c|spike,\forall x\in D)≥ 1-α1 and P(\exists x\in D s.t. f(x)≥ c|slab)≥ 1-α2.
1 2 |
Z |
the row of the design matrix (or the complete matrix of several observations) evaluated at. |
Kinv |
the generalised inverse of K. |
a |
is the shape parameter of the inverse gamma distribution, default is 5. |
c |
denotes the expected range of eqnf . |
alpha1 |
denotes the 1-α1 level for b. |
alpha2 |
denotes the 1-α2 level for r. |
R |
denotes the number of replicates drawn during simulation. |
myseed |
denotes the required seed for the simulation based method. |
an object of class list
with root values r, b from uniroot
.
Nadja Klein
Nadja Klein, Thomas Kneib, Stefan Lang and Helga Wagner (2016). Spike and Slab Priors for Effect Selection in Distributional Regression. Working Paper.
1 2 3 4 5 6 7 8 9 10 11 12 13 | set.seed(123)
library(MASS)
# prior precision matrix (second order differences)
# of a spline of degree l=3 and with m=22 inner knots
# yielding dim(K)=m+l-1=22
K <- t(diff(diag(22), differences=2))%*%diff(diag(22), differences=2)
# generalised inverse of K (same as if we used mixed model representation!)
Kinv <- ginv(K)
# covariate x
x <- runif(1)
Z <- matrix(DesignM(x)$Z_B,nrow=1)
fgrid <- seq(-3,3,length=1000)
mdf <- hyperpar(Z,Kinv,a=5,c=0.1,alpha1=0.05,alpha2=0.05,R=10000,myseed=123)
|
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.