CARlasso (version 0.1.2)

horseshoe: Horseshoe method for graphical structure inference

Description

Horseshoe method for graphical structure inference

Usage

horseshoe(obj, Bbar = NULL, A = NULL, nu = 3, V = NULL, thr = 0.5)

Arguments

obj

The carlasso_out object from CARlasso

Bbar

Prior mean of regression coefficients, default all 0s

A

Prior precision of regression coefficients, default 1e-8

nu

Prior degree of freedom of the Wishart on precision matrix

V

prior covariance matrix of the Wishart on precision matrix

thr

threshold for horseshoe inference, default 0.5

Value

A carlasso_out object with learned binary adjacency matrix and multi-response linear regression MCMC out put

Details

This method fits a linear regression with less informative prior on any parameters and compare the posterior mean with the LASSO result. If LASSO is comparably less than result without sparsity prior, we argue that the edge should be absent

Examples

# NOT RUN {
set.seed(42)
dt <- simu_AR1()
car_res <- CARlasso(y1+y2+y3+y4+y5~x1+x2+x3+x4+x5, data = dt, adaptive = TRUE)
car_res <- horseshoe(car_res)
plot(car_res)
# }