Implementation of the Horseshoe Prior

Contains functions for applying the horseshoe prior to high- dimensional linear regression, yielding the posterior mean and credible intervals, amongst other things. The key parameter tau can be equipped with a prior or estimated via maximum marginal likelihood estimation (MMLE). The main function, horseshoe, is for linear regression. In addition, there are functions specifically for the sparse normal means problem, allowing for faster computation of for example the posterior mean and posterior variance. Finally, there is a function available to perform variable selection, using either a form of thresholding, or credible intervals.


News

horseshoe 0.1.0

  • This is the first release of the horseshoe package.

Reference manual

It appears you don't have a PDF plugin for this browser. You can click here to download the reference manual.

install.packages("horseshoe")

0.2.0 by Stephanie van der Pas, 5 months ago


Browse source code at https://github.com/cran/horseshoe


Authors: Stephanie van der Pas [cre, aut] , James Scott [aut] , Antik Chakraborty [aut] , Anirban Bhattacharya [aut]


Documentation:   PDF Manual  


GPL-3 license


Imports stats

Suggests Hmisc, ggplot2, knitr, rmarkdown


Imported by GWASinlps.


See at CRAN