sample_lm_hs {countSTAR}R Documentation

Sample linear regression parameters assuming horseshoe prior

Description

Sample the parameters for a linear regression model assuming a horseshoe prior for the (non-intercept) coefficients. The number of predictors p may exceed the number of observations n.

Usage

sample_lm_hs(y, X, params, XtX = NULL, X_test = NULL)

Arguments

y

n x 1 vector of data

X

n x p matrix of predictors

params

the named list of parameters containing

  1. mu n x 1 vector of conditional means (fitted values)

  2. sigma the conditional standard deviation

  3. coefficients a named list of parameters that determine mu

XtX

the p x p matrix of crossprod(X) (one-time cost); if NULL, compute within the function

X_test

matrix of predictors at test points (default is NULL)

Value

The updated named list params with draws from the full conditional distributions of sigma and coefficients (along with updated mu and mu_test if applicable).

Note

The parameters in coefficients are:


[Package countSTAR version 1.0.2 Index]