countSTAR (version 1.0.2)

sample_lm_gprior: Sample the linear regression parameters assuming a g-prior

Description

Sample the parameters for a linear regression model assuming a g-prior for the coefficients.

Usage

sample_lm_gprior(y, X, params, psi = NULL, XtX = NULL, X_test = NULL)

Value

The updated named list params with draws from the full conditional distributions of sigma and coefficients (along with updated mu and mu_test if applicable).

Arguments

y

n x 1 vector of data

X

n x p matrix of predictors

params

the named list of parameters containing

1. mu: vector of conditional means (fitted values)

2. sigma: the conditional standard deviation

3. coefficients: a named list of parameters that determine mu

psi

the prior variance for the g-prior

XtX

the p x p matrix of crossprod(X) (one-time cost); if NULL, compute within the function

X_test

matrix of predictors at test points (default is NULL)

Examples

# Simulate data for illustration:
sim_dat = simulate_nb_lm(n = 100, p = 5)
y = sim_dat$y; X = sim_dat$X
# Initialize:
params = init_lm_gprior(y = y, X = X)
# Sample:
params = sample_lm_gprior(y = y, X = X, params = params)
names(params)
names(params$coefficients)