Ellpitical slice sampler for Bayesian linear regression with horseshoe prior
fastHorseshoe is an
R pacakge for Bayesian linear regression with horseshoe shrinkage prior. 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 horseshoe regression. The package can handle not only horseshoe prior but also other shrinkage priors and even any user speicified prior functions.
Installing the pacakgeThe pacakge relies on
Install from CRANSimply run
Install from Github
help(package = fastHorseshoe)