Bayesian linear regression with the horseshoe hierarchy
Updated 10 Aug 2017
This file implements Bayesian linear regression with the horseshoe hierarchy using a simple Gibbs sampler.
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).
Statovic (2023). 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. Retrieved .
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- Updated description
- Updated description to include information on the new regularised regression toolbox
-Much improved sampling of the conditional distribution for betas (implemented Rue's algorithm for n>p)