horseshoe

Description

This R package implements the elliptical slice sampler for Bayesian shrinkage regression, such as horseshoe, double-exponential and other user specific priors easily.

Install

install.packages("devtools")

library(devtools)

install_github("JingyuHe/fastHorseshoe")

Reference

Hahn, P. Richard, Jingyu He, and Hedibert Lopes. "Elliptical slice sampling for Bayesian shrinkage regression with applications to causal inference." (2016).