ind_fun_pimom

<p>the subset of covariates in a model</p>

X.ind

tuning

<p>a log-marginal likelhood value of a model, based on the  piMoM prior on the regression coefficients and inverse gamma prior (0.01,0.01) on the variance.</p>

In p >> n settings, full posterior sampling using existing Markov chain Monte
Carlo (MCMC) algorithms is highly inefficient and often not feasible from a practical
perspective. To overcome this problem, we propose a scalable stochastic search algorithm that is called the Simplified Shotgun Stochastic Search (S5) and aimed at rapidly explore interesting regions of model space and finding the maximum a posteriori(MAP) model. Also, the S5 provides an approximation of posterior probability of each model (including the marginal inclusion probabilities). This algorithm is a part of an article titled "Scalable Bayesian Variable Selection Using Nonlocal Prior Densities in Ultrahigh-dimensional Settings" (2018) by Minsuk Shin, Anirban Bhattacharya, and Valen E. Johnson and "Nonlocal Functional Priors for Nonparametric Hypothesis Testing and High-dimensional Model Selection" (2020+) by Minsuk Shin and Anirban Bhattacharya.

ind_fun_pimom: the log-marginal likelhood function based on piMoM priors

Description

Usage

Arguments

References

See Also