monomvn (Q82912): Difference between revisions
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Property / last update: 6 January 2023 / rank | |||||||||||||||
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publication date: 11 June 2007
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publication date: 10 July 2007
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publication date: 4 August 2007
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publication date: 11 June 2007
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publication date: 25 August 2007
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publication date: 3 November 2007
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publication date: 11 November 2007
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publication date: 13 August 2007
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publication date: 19 May 2008
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publication date: 20 June 2008
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publication date: 10 June 2008
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publication date: 22 September 2008
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publication date: 20 July 2008
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publication date: 13 November 2008
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publication date: 11 December 2008
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publication date: 4 December 2008
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publication date: 27 May 2009
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publication date: 2 June 2009
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publication date: 19 August 2009
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publication date: 17 November 2009
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publication date: 15 April 2009
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publication date: 9 March 2010
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publication date: 22 April 2010
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publication date: 25 April 2010
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publication date: 26 February 2011
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publication date: 8 March 2011
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publication date: 23 July 2011
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publication date: 17 December 2011
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publication date: 19 December 2011
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publication date: 7 January 2012
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publication date: 19 April 2012
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publication date: 14 January 2010
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publication date: 25 June 2012
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publication date: 1 July 2012
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publication date: 25 October 2012
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publication date: 18 April 2013
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publication date: 21 May 2014
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publication date: 11 February 2016
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publication date: 8 January 2017
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publication date: 14 September 2018
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publication date: 7 March 2019
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publication date: 11 June 2019
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publication date: 28 November 2019
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publication date: 30 March 2022
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publication date: 6 April 2022
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publication date: 20 October 2022
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publication date: 21 August 2023
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publication date: 28 November 2023
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publication date: 21 June 2012
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publication date: 11 January 2024
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11 January 2024
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Estimation of multivariate normal (MVN) and student-t data of arbitrary dimension where the pattern of missing data is monotone. See Pantaleo and Gramacy (2010) <arXiv:0907.2135>. Through the use of parsimonious/shrinkage regressions (plsr, pcr, lasso, ridge, etc.), where standard regressions fail, the package can handle a nearly arbitrary amount of missing data. The current version supports maximum likelihood inference and a full Bayesian approach employing scale-mixtures for Gibbs sampling. Monotone data augmentation extends this Bayesian approach to arbitrary missingness patterns. A fully functional standalone interface to the Bayesian lasso (from Park & Casella), Normal-Gamma (from Griffin & Brown), Horseshoe (from Carvalho, Polson, & Scott), and ridge regression with model selection via Reversible Jump, and student-t errors (from Geweke) is also provided. | |||||||||||||||
Property / description: Estimation of multivariate normal (MVN) and student-t data of arbitrary dimension where the pattern of missing data is monotone. See Pantaleo and Gramacy (2010) <arXiv:0907.2135>. Through the use of parsimonious/shrinkage regressions (plsr, pcr, lasso, ridge, etc.), where standard regressions fail, the package can handle a nearly arbitrary amount of missing data. The current version supports maximum likelihood inference and a full Bayesian approach employing scale-mixtures for Gibbs sampling. Monotone data augmentation extends this Bayesian approach to arbitrary missingness patterns. A fully functional standalone interface to the Bayesian lasso (from Park & Casella), Normal-Gamma (from Griffin & Brown), Horseshoe (from Carvalho, Polson, & Scott), and ridge regression with model selection via Reversible Jump, and student-t errors (from Geweke) is also provided. / rank | |||||||||||||||
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Property / author: Robert B. Gramacy / rank | |||||||||||||||
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Property / copyright license: GNU Library General Public License, version 2.0 / rank | |||||||||||||||
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Property / copyright license: GNU Lesser General Public License, version 2.1 / rank | |||||||||||||||
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Property / copyright license: GNU Lesser General Public License, version 3.0 / rank | |||||||||||||||
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Property / copyright license: GNU Lesser General Public License, version 3.0 / qualifier | |||||||||||||||
edition/version: expanded from: LGPL (English) | |||||||||||||||
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software version identifier: ≥ 2.14.0 | |||||||||||||||
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Property / cites work: Shrinkage regression for multivariate inference with missing data, and an application to portfolio balancing / rank | |||||||||||||||
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links / mardi / name | links / mardi / name | ||||||||||||||
Latest revision as of 19:56, 12 March 2024
Estimation for MVN and Student-t Data with Monotone Missingness
Language | Label | Description | Also known as |
---|---|---|---|
English | monomvn |
Estimation for MVN and Student-t Data with Monotone Missingness |
Statements
11 January 2024
0 references
Estimation of multivariate normal (MVN) and student-t data of arbitrary dimension where the pattern of missing data is monotone. See Pantaleo and Gramacy (2010) <arXiv:0907.2135>. Through the use of parsimonious/shrinkage regressions (plsr, pcr, lasso, ridge, etc.), where standard regressions fail, the package can handle a nearly arbitrary amount of missing data. The current version supports maximum likelihood inference and a full Bayesian approach employing scale-mixtures for Gibbs sampling. Monotone data augmentation extends this Bayesian approach to arbitrary missingness patterns. A fully functional standalone interface to the Bayesian lasso (from Park & Casella), Normal-Gamma (from Griffin & Brown), Horseshoe (from Carvalho, Polson, & Scott), and ridge regression with model selection via Reversible Jump, and student-t errors (from Geweke) is also provided.
0 references
expanded from: LGPL (English)
0 references