adaEnet: Bayesian Adaptive Elastic Net

In abnormally-distributed/Bayezilla: Bayesian Models With JAGS and Several Utilities for Data Exploration and Model Evaluation.

Description

This is an adaptation of the frequentist adaptive elastic net of Ghosh (2007, 2011) and Zou & Zhang (2009) to the Bayesian paradigm through a modification of the Bayesian elastic net (Li & Lin, 2010). For the binomial and poisson likelihoods plug-in pseudo-variances are used.
The model structure is given below:





Plugin Pseudo-Variances:

Usage

adaEnet(formula, data, family = "gaussian", lambda.prior = "dmouch",
  log_lik = FALSE, iter = 10000, warmup = 1000, adapt = 2000,
  chains = 4, thin = 1, method = "rjparallel", cl = makeCluster(2),
  ...)

Arguments

formula	the model formula
data	a data frame.
family	one of "gaussian", "binomial", or "poisson".
lambda.prior	either "dmouch" (the default) or "gamma"
log_lik	Should the log likelihood be monitored? The default is FALSE.
iter	How many post-warmup samples? Defaults to 10000.
warmup	How many warmup samples? Defaults to 1000.
adapt	How many adaptation steps? Defaults to 2000.
chains	How many chains? Defaults to 4.
thin	Thinning interval. Defaults to 1.
method	Defaults to "rjparallel". For an alternative parallel option, choose "parallel". Otherwise, "rjags" (single core run).
cl	Use parallel::makeCluster(# clusters) to specify clusters for the parallel methods. Defaults to two cores.
...	Other arguments to run.jags.

Value

A run.jags object

References

Ghosh, S. (2007) Adaptive Elastic Net: A Doubly Regularized method for variable selection to Achieve Oracle Properties. Tech. Rep. pr07-01, available at http://www.math.iupui.edu/research/preprints.php, IUPUI

Ghosh, S. (2011) On the grouped selection and model complexity of the adaptive elastic net. Statistics and Computing 21, no. 3, 451. https://doi.org/10.1007/s11222-010-9181-4

Li, Qing; Lin, Nan. The Bayesian elastic net. Bayesian Anal. 5 (2010), no. 1, 151–170. doi:10.1214/10-BA506. https://projecteuclid.org/euclid.ba/1340369796

Zou, H.; Zhang, H. (2009) On the adaptive elastic-net with a diverging number of parameters, Ann. Statist. 37 , no. 4, 1733–1751, DOI 10.1214/08-AOS625. MR2533470 (2010j:62210)

Examples

adaEnet()

abnormally-distributed/Bayezilla documentation built on Oct. 31, 2019, 1:57 a.m.