SequenceSpikeSlab

Exact Bayesian Model Selection Methods for the Sparse Normal Sequence Model

Tim van Erven, Botond Szabo, Steven de Rooij

Last update: 8 September 2023

Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0

Software version identifier: 1.0.0, 0.1.1, 0.1, 1.0.1

Description

Contains fast functions to calculate the exact Bayes posterior for the Sparse Normal Sequence Model, implementing the algorithms described in Van Erven and Szabo (2021, <doi:10.1214/20-BA1227>). For general hierarchical priors, sample sizes up to 10,000 are feasible within half an hour on a standard laptop. For beta-binomial spike-and-slab priors, a faster algorithm is provided, which can handle sample sizes of 100,000 in half an hour. In the implementation, special care has been taken to assure numerical stability of the methods even for such large sample sizes.

Cites work

Fast Exact Bayesian Inference for Sparse Signals in the Normal Sequence Model

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