Bayesian linear regression with the horseshoe hierarchy

Versión 1.21.0.0 (5,03 KB) por Statovic
This file implements Bayesian linear regression with the horseshoe hierarchy.
0.0
(0)
309 descargas
Actualizado 10 ago 2017

Ver licencia

This file implements Bayesian linear regression with the horseshoe hierarchy using a simple Gibbs sampler.

References:
A simple sampler for Bayesian linear regression with the horseshoe hierarchy
E. Makalic and D. F. Schmidt,
arXiv:1508.03884 [stat.CO], 2015

The horseshoe estimator for sparse signals
C. M. Carvalho, N. G. Polson and J. G. Scott
Biometrika, Vol. 97, No. 2, pp. 465--480, 2010

NOTE: A new toolbox, baysreg, which implements Bayesian regularised linear and logistic regression is now available on MATLAB Central (File ID: #60823).

Citar como

Statovic (2024). Bayesian linear regression with the horseshoe hierarchy (https://www.mathworks.com/matlabcentral/fileexchange/52479-bayesian-linear-regression-with-the-horseshoe-hierarchy), MATLAB Central File Exchange. Recuperado .

Compatibilidad con la versión de MATLAB
Se creó con R2015a
Compatible con cualquier versión
Compatibilidad con las plataformas
Windows macOS Linux

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Versión Publicado Notas de la versión
1.21.0.0

- Updated description
1.2.0.0

- Updated description to include information on the new regularised regression toolbox
- Pre-compute X'*X for the fastmvg_rue routine. This results in speed improvements which are noticeable especially for large sample sizes
- Added an arXiv reference to the paper that describes the algorithm
1.1.0.0

-Much improved sampling of the conditional distribution for betas (implemented Rue's algorithm for n>p)
-Minor speed improvement in function fastmvg
-Cleaned up the help
1.0.0.0