A simple sampler for the horseshoe estimator
Computation
2016-07-13 v4
Abstract
In this note we derive a simple Bayesian sampler for linear regression with the horseshoe hierarchy. A new interpretation of the horseshoe model is presented, and extensions to logistic regression and alternative hierarchies, such as horseshoe, are discussed. Due to the conjugacy of the proposed hierarchy, Chib's algorithm may be used to easily compute the marginal likelihood of the model.
Keywords
Cite
@article{arxiv.1508.03884,
title = {A simple sampler for the horseshoe estimator},
author = {Enes Makalic and Daniel F. Schmidt},
journal= {arXiv preprint arXiv:1508.03884},
year = {2016}
}