Bayesian linear regression with the horseshoe hierarchy
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).
Citation pour cette source
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. Récupéré le .
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- AI, Data Science, and Statistics > Statistics and Machine Learning Toolbox > Regression > Model Building and Assessment > Bayesian Regression >
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Version | Publié le | Notes de version | |
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1.21.0.0 | - Updated description |
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1.2.0.0 | - Updated description to include information on the new regularised regression toolbox
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1.1.0.0 | -Much improved sampling of the conditional distribution for betas (implemented Rue's algorithm for n>p)
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1.0.0.0 |