Efficient sampling for Gaussian linear regression with arbitrary priors.
Titled L.A.9.8, Richard Serra (1998)
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)