tglm (version 1.0)

tglm-package: Binary Regressions under Independent Student-t Priors

Description

Use Gibbs sampler with Polya-Gamma data augmentation to fit logistic and probit regression under independent Student-t priors (including Cauchy priors and normal priors as special cases).

Details

Package:

tglm

Type:

Package

Version:

1.0

Date:

2015-07-24

License:

GPL(>= 2)

Main function: tglm.fit.

References

James H. Albert and Siddhartha Chib. (1993) "Bayesian Analysis of Binary and Polychotomous Response Data." Journal of the American statistical Association, 88(422), 669-679.

Nicholas G. Polson, James G. Scott, and Jesse Windle. (2013) "Bayesian Inference for Logistic Models Using Polya-Gamma Latent Variables." Journal of the American statistical Association, 108(504), 1339-1349.

Joyee Ghosh, Yingbo Li, and Robin Mitra. "On the Use of Cauchy Prior Distributions for Bayesian Logistic Regression." Working paper.