Journal
IEEE SIGNAL PROCESSING LETTERS
Volume 23, Issue 1, Pages 179-182Publisher
IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC
DOI: 10.1109/LSP.2015.2503725
Keywords
Bayesian regression; horseshoe estimator; Markov chain Monte Carlo sampling
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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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