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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 |
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English | monomvn |
Estimation for MVN and Student-t Data with Monotone Missingness |
Statements
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.
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expanded from: LGPL (English)
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