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A simple sampler for the horseshoe estimator - MaRDI portal

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A simple sampler for the horseshoe estimator

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Publication:147835

DOI10.48550/ARXIV.1508.03884arXiv1508.03884MaRDI QIDQ147835

Author name not available (Why is that?)

Publication date: 17 August 2015

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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