Bayesian linear regression with the horseshoe hierarchy

Version 1.21.0.0 (5.03 KB) by Statovic
This file implements Bayesian linear regression with the horseshoe hierarchy.
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Updated 10 Aug 2017

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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 (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. Retrieved .

MATLAB Release Compatibility
Created with R2015a
Compatible with any release
Platform Compatibility
Windows macOS Linux

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Version Published Release Notes
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