Bayesian linear regression with the horseshoe hierarchy
This file implements Bayesian linear regression with the horseshoe hierarchy.
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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).
Cite As
Statovic (2026). 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 .
General Information
- Version 1.21.0.0 (5.03 KB)
MATLAB Release Compatibility
- Compatible with any release
Platform Compatibility
- Windows
- macOS
- Linux
| Version | Published | Release Notes | Action |
|---|---|---|---|
| 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 |
