https://github.com/brandonwillard/hsplus-python

Python implementations of the Horseshoe+ prior
https://github.com/brandonwillard/hsplus-python

bayesian-methods horseshoe-prior shrinkage-estimator

Last synced: 26 days ago
JSON representation

Python implementations of the Horseshoe+ prior

• Host: GitHub
• URL: https://github.com/brandonwillard/hsplus-python
• Owner: brandonwillard
• Created: 2018-05-03T19:24:23.000Z (over 6 years ago)
• Default Branch: master
• Last Pushed: 2023-07-20T13:11:13.000Z (over 1 year ago)
• Last Synced: 2024-05-02T01:05:33.268Z (6 months ago)
• Topics: bayesian-methods, horseshoe-prior, shrinkage-estimator
• Language: Python
• Homepage: https://arxiv.org/abs/1502.00560
• Size: 271 KB
• Stars: 3
• Watchers: 3
• Forks: 0
• Open Issues: 2
• Metadata Files:
  • Readme: README.md

Awesome Lists containing this project

README

        
# Introduction

This Python package provides implementations for the Horseshoe and Horseshoe+ prior

calculations found in ["The Horseshoe+ Estimator of Ultra-Sparse Signals"](hsplus),

["	Default Bayesian analysis with global-local shrinkage priors"](default) and 

["Prediction risk for global-local shrinkage regression"](predict).

Specifically,

* Generic numeric and symbolic functions--via [`mpmath`](mp) and [SymPy](sp),

  respectively--for bivariate confluent hypergeometric functions.

* Expectation and moment calculations for the hypergeometric inverted-beta distribution.

* SURE values.

# Installation

Install directly from the repository with the following:

```

$ pip install git+https://github.com/brandonwillard/hsplus-python

```

## Development

After cloning the Git repository, use the `-e` option in the project directory: 

```

$ pip install -e ./

```

[mp]:http://mpmath.org/

[sp]:http://www.sympy.org/

[hsplus]:https://arxiv.org/abs/1502.00560

[predict]:https://arxiv.org/abs/1605.04796

[default]:https://arxiv.org/abs/1510.03516