Description

This function calculates a numerical-based solution to the scale parameter c in the the equation three lines from the top of page 7 in Section 2 of Boonstra and Barbaro. If desired, the user may request regional scale values for a partition of the covariates into two regions, defined by the first npar1 covariates and the second npar2 covariates, but this functionality was not used in Boonstra and Barbaro.

Usage

 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 solve_for_hiershrink_scale( target_mean1, target_mean2 = NA, npar1, npar2 = 0, local_dof = 1, regional_dof = -Inf, global_dof = 1, slab_precision = (1/15)^2, n, sigma = 2, tol = .Machine\$double.eps^0.5, max_iter = 100, n_sim = 2e+05 )

Arguments

 target_mean1 (pos. reals): the desired prior number of effective parameters (tilde xi_eff in Boonstra and Barbaro). If one scale parameter is desired, leave target_mean2 = NA. An error will be thrown if target_mean1 > npar1 or if target_mean2 > npar2. target_mean2 (pos. reals): the desired prior number of effective parameters (tilde xi_eff in Boonstra and Barbaro). If one scale parameter is desired, leave target_mean2 = NA. An error will be thrown if target_mean1 > npar1 or if target_mean2 > npar2. npar1 (pos. integers): the number of covariates. If one scale parameter is required, then leave npar2 = 0. npar2 (pos. integers): the number of covariates. If one scale parameter is required, then leave npar2 = 0. local_dof (pos. integer) numbers indicating the degrees of freedom for lambda_j and tau, respectively. Boonstra and Barbaro never considered local_dof != 1 or global_dof != 1. regional_dof (pos. integer) Not used in Boonstra and Barbaro. global_dof (pos. integer) numbers indicating the degrees of freedom for lambda_j and tau, respectively. Boonstra and Barbaro never considered local_dof != 1 or global_dof != 1. slab_precision (pos. real) the slab-part of the regularized horseshoe, this is equivalent to (1/d)^2 in the notation of Boonstra and Barbaro n (pos. integer) sample size sigma (pos. real) square root of the assumed dispersion. In Boonstra and Barbaro, this was always 2, corresponding to the maximum possible value: sqrt(1/[0.5 * (1 - 0.5)]). tol (pos. real) numerical tolerance for convergence of solution max_iter (pos. integer) maximum number of iterations to run without convergence before giving up n_sim (pos. integer) number of simulated draws from the underlying student-t hyperpriors to calculate the Monte Carlo-based approximation of the expectation.

Value

A list containing the following named elements:

• scale1

• diff_from_target1

• iter1

• prior_num1

• scale2

• diff_from_target2

• iter2

• prior_num2