A simple sampler for the horseshoe estimator

Enes Makalic; Daniel F. Schmidt

doi:10.1109/LSP.2015.2503725

A simple sampler for the horseshoe estimator

Enes Makalic, Daniel F. Schmidt

Research output: Contribution to journal › Article › Research › peer-review

168 Citations (Scopus)

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.

Original language	English
Article number	23882
Pages (from-to)	179-182
Number of pages	4
Journal	IEEE Signal Processing Letters
Volume	23
Issue number	1
DOIs	https://doi.org/10.1109/LSP.2015.2503725
Publication status	Published - Jan 2016
Externally published	Yes

Keywords

Bayesian regression
Horseshoe estimator
Markov chain Monte Carlo sampling

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10.1109/LSP.2015.2503725

Cite this

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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.",

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AB - 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.

KW - Bayesian regression

KW - Horseshoe estimator

KW - Markov chain Monte Carlo sampling

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DO - 10.1109/LSP.2015.2503725

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SP - 179

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JO - IEEE Signal Processing Letters

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A simple sampler for the horseshoe estimator

Abstract

Keywords

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