BoomSpikeSlab

MCMC for Spike and Slab Regression

Last update: 17 December 2023

Copyright license: GNU Lesser General Public License, version 2.1, File License

Software version identifier: 1.2.5, 1.2.6

Description

Spike and slab regression with a variety of residual error distributions corresponding to Gaussian, Student T, probit, logit, SVM, and a few others. Spike and slab regression is Bayesian regression with prior distributions containing a point mass at zero. The posterior updates the amount of mass on this point, leading to a posterior distribution that is actually sparse, in the sense that if you sample from it many coefficients are actually zeros. Sampling from this posterior distribution is an elegant way to handle Bayesian variable selection and model averaging. See <doi:10.1504/IJMMNO.2014.059942> for an explanation of the Gaussian case.

Cites work

Predicting the present with Bayesian structural time series