A Simple Sampler for the Horseshoe Estimator

A Simple Sampler for the Horseshoe Estimator

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 hi...

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Veröffentlicht in:IEEE signal processing letters 2016-01, Vol.23 (1), p.179-182
Hauptverfasser: Makalic, Enes, Schmidt, Daniel F.
Format: Artikel
Sprache:eng
Schlagworte:
Algorithms
Bayes methods
Bayesian analysis
Bayesian regression
Computational modeling
Data models
Estimators
Hierarchies
horseshoe estimator
Linear regression
Logistics
Markov chain Monte Carlo sampling
Mathematical model
Regression
Samplers
Signal processing
Signal processing algorithms
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Zusammenfassung: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.
ISSN:1070-9908
1558-2361
DOI:10.1109/LSP.2015.2503725