Approximate Bayesian Regularization for Parsimonious Estimates
Overview
Approximate Bayesian regularization using Gaussian approximations. The input is a vector of estimates and a Gaussian error covariance matrix of the key parameters. Bayesian shrinkage is then applied to obtain parsimonious solutions. The method is described on Karimova, van Erp, Leenders, and Mulder (2025) DOI:10.1016/j.jmp.2025.102925. Gibbs samplers are used for model fitting. The shrinkage priors that are supported are Gaussian (ridge) priors, Laplace (lasso) priors (Park and Casella, 2008 DOI:10.1198/016214508000000337), and horseshoe priors (Carvalho, et al., 2010; DOI:10.1093/biomet/asq017). These priors include an option for grouped regularization of different subsets of parameters (Meier et al., 2008; DOI:10.1111/j.1467-9868.2007.00627.x). F priors are used for the penalty parameters lambda^2 (Mulder and Pericchi, 2018 DOI:10.1214/17-BA1092). This correspond to half-Cauchy priors on lambda (Carvalho, Polson, Scott, 2010 DOI:10.1093/biomet/asq017).
Install
Health
- OK13 OK2026-08-04
- NOTE12 OK, 1 NOTE2026-08-01
- OK13 OK2026-06-09
- ERROR12 OK, 1 ERROR2026-06-08
- OK14 OK2026-03-10
Documentation
- Help pages
- 3
- Examples that run
- 67%2 run in a plain check · 1 only when donttest examples are enabled (R CMD check --as-cran)
- Exported functions with examples
- 100%
- Documented parameters
- 100%
- Return-value docs
- 100%
- Help pages citing references
- 100%
Downloads
Dependencies
Installing shrinkem adds 6 packages (5 with compiled code, 3.1 MB of source tarballs). Heaviest: Rcpp 1.8 MB, RcppArmadillo 1.0 MB, extraDistr 146 KB.
Code & Tests
People & History
Package metadata
- First published
- 2024-10-05
- Total releases
- 3 / 2 yrs
- License
- GPL (>= 3) OSI
- Download size
- 14 KB
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