bridge: Bayesian Bridge Regression

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

Description

The Bayesian Bridge model of Mallick & Yi (2018). Bridge regression allows you to utilize different Lp norms for the shape of the prior through the shape parameter kappa of the power exponential distribution (also known as generalized Gaussian). Norms of 1 and 2 give the Laplace and Gaussian distributions respectively (corresponding to the LASSO and Ridge Regression). Norms smaller than 1 are very difficult to estimate, but have very tall modes at zero and very long, cauchy like tails. Values greater than 2 become increasingly platykurtic, with the uniform distribution arising as it approaches infinity.
Using kappa = 1 yields the New Bayesian LASSO, which is a re-parameterization of the Bayesian LASSO utilizing a scale mixture of uniform distributions to obtain the Laplacian priors (Mallick & Yi, 2014).

JAGS has no built in power exponential distribution, so the distribution is parameterized as a uniform-gamma mixture just as in Mallick & Yi (2018). For generalized linear models plug-in pseudovariances are used.

Model Specification:

Plugin Pseudo-Variances:

Usage

bridge(formula, data, family = "gaussian", kappa = 1.4,
  log_lik = FALSE, iter = 10000, warmup = 1000, adapt = 2000,
  chains = 4, thin = 1, method = "parallel", cl = makeCluster(2),
  ...)

Arguments

formula	the model formula
data	a data frame.
family	one of "gaussian", "st" (Student-t with nu=3), "binomial", or "poisson".
kappa	the Lp norm you wish to utilize. Default is 1.4.
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 runjags object

References

Mallick, H. & Yi, N. (2018) Bayesian bridge regression, Journal of Applied Statistics, 45:6, 988-1008, DOI: 10.1080/02664763.2017.1324565

Mallick, H., & Yi, N. (2014). A New Bayesian Lasso. Statistics and its interface, 7(4), 571–582. doi:10.4310/SII.2014.v7.n4.a12

Examples

bridge()

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