Description Usage Arguments Examples
Proximal Bayesian Trend Filtering
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y |
normal observations (vector) |
x |
predictor (vector); if null, will use 1:m by default |
restrictions |
a collection of shape restrictions, including 'increasing','decreasing','convex','concave' |
lambda |
lambda parameter of Moreau envelope |
k |
order of the desired piecewise polynomial; 1 linear, 2 quadratic, 3 cubic; k=0 or k>=4 not recommended |
delta |
percentage of maximum step size to use, default is 1 |
N.burn |
number of MCMC iterations burned |
N.sim |
number of MCMC samples returned |
t |
number of theta sampling steps to carry out before sigma2, default is 5 |
MH_correct |
whether to use MH correction or not |
alpha |
regularization parameter; if NULL, it is determined by cross validation heuristic |
alpha_grid |
a grid of alpha candidates to select from; we recommend including 0 |
K |
conduct K-fold-cross validation to find the optimal alpha |
s |
the shape parameter for inverse gamma prior of sigma2 |
r |
the rate parameter for inverse gamma prior of sigma2 |
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