Mhorseshoe (Q5979671)
From MaRDI portal
Approximate Algorithm for Horseshoe Prior
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Mhorseshoe |
Approximate Algorithm for Horseshoe Prior |
Statements
Provides an approximate algorithm for the horseshoe estimator used in Bayesian linear models. By implementing a sampler with high computational cost in the 'Rcpp' package and using an approximate algorithm that reduces matrix calculation complexity, parameter estimation speed for high-dimensional sparse data is faster. The approximate algorithm is described in Johndrow et al. (2020) <https://www.jmlr.org/papers/v21/19-536.html>.
0 references
24 November 2023
0 references
