Efficient sampling for Gaussian linear regression with arbitrary priors.
bayeslm is an
R pacakge for Bayesian linear regression using ellipitical slice sampler. Empirically, the regular Gibbs sampler is too slow to be practical when the data size is as big as hundreds covariates. Instead of the standard Gibbs sampler, this package implements the ellipitical slice sampler for Bayesian regression with several frequently used priors.
Installing the pacakgeThe pacakge relies on
Install from CRANSimply run
Install from Github
help(package = bayeslm)