adaEnetDC: Bayesian Adaptive Elastic Net with additional unpenalized...

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 Zou & Zhang (2009) to the Bayesian paradigm through a modification of the Bayesian elastic net (Li & Lin, 2010). This function has the further allowance for a set of covariates that are not penalized. For example, you may wish to include variables such as age and gender so that the coefficients for the other variables are penalized while controlling for these. This is a common need in research.

For the binomial and poisson likelihood functions the uniform-gamma scale mixture for the variant of the Bayesian LASSO is adapted for use here.

The model structure is given below:

Plugin Pseudo-Variances:

Usage

adaEnetDC(formula, design.formula, data, family = "gaussian",
  log_lik = FALSE, iter = 10000, warmup = 1000, adapt = 2000,
  chains = 4, thin = 1, method = "parallel", cl = makeCluster(2),
  ...)

Arguments

formula	the model formula
design.formula	formula for the design covariates.
data	a data frame.
family	one of "gaussian", "binomial", or "poisson".
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 "parallel". For an alternative parallel option, choose "rjparallel" or. 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

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

adaEnetDC()

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