bayeslm

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 pacakge

The pacakge relies on Rcpp and RcppArmadillo.

Install from CRAN

Simply run install.packages("bayeslm")

Install from Github

install.packages("devtools")
library(devtools)
install_github("JingyuHe/bayeslm")

Documentation

help(package = bayeslm)

Contact

  • Address

    The University of Chicago
    Booth School of Business
    5807 S Woodlawn Ave
    Chicago, IL 60637, USA
  • Email

    jingyu.he@chicagobooth.edu