monomvn
Estimation for MVN and Student-t Data with Monotone Missingness
Last update: 11 January 2024
Software version identifier: 1.9-17, 1.0-1, 1.0-2, 1.0-3, 1.0, 1.1-1, 1.1-2, 1.1-4, 1.1, 1.2, 1.3-1, 1.3, 1.4-1, 1.4, 1.5, 1.6-1, 1.6, 1.7-1, 1.7-2, 1.7-3, 1.7-4, 1.7, 1.8-1, 1.8-2, 1.8-3, 1.8-4, 1.8-5, 1.8-6, 1.8-7, 1.8-8, 1.8-9, 1.8-10, 1.8, 1.9-1, 1.9-2, 1.9-3, 1.9-4, 1.9-5, 1.9-6, 1.9-7, 1.9-8, 1.9-9, 1.9-10, 1.9-13, 1.9-14, 1.9-15, 1.9-16, 1.9-18, 1.9-19, 1.9, 1.9-20
Copyright license: GNU Library General Public License, version 2.0, GNU Lesser General Public License, version 2.1, GNU Lesser General Public License, version 3.0
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.
