Package 'GHS'

Title: Graphical Horseshoe MCMC Sampler Using Data Augmented Block Gibbs Sampler
Description: Draw posterior samples to estimate the precision matrix for multivariate Gaussian data. Posterior means of the samples is the graphical horseshoe estimate by Li, Bhadra and Craig(2017) <arXiv:1707.06661>. The function uses matrix decomposition and variable change from the Bayesian graphical lasso by Wang(2012) <doi:10.1214/12-BA729>, and the variable augmentation for sampling under the horseshoe prior by Makalic and Schmidt(2016) <arXiv:1508.03884>. Structure of the graphical horseshoe function was inspired by the Bayesian graphical lasso function using blocked sampling, authored by Wang(2012) <doi:10.1214/12-BA729>.
Authors: Ashutosh Srivastava<>, Anindya Bhadra<>
Maintainer: Ashutosh Srivastava<>
License: GPL-2
Version: 0.1
Built: 2024-01-30 07:49:17 UTC
Source: CRAN

Help Index

GHS MCMC sampler using data-augmented block (column-wise) Gibbs sampler


GHS_est returns a tuple whose first element is a p by p by nmc matrices of saved posterior samples of precision matrix, second element is the p*(p-1)/2 by nmc vector of saved samples of the local tuning parameter and the third element is the 1 by nmc vector of saved samples of the global tuning parameter


GHS_est(S, n, burnin, nmc)



sample covariance matrix


sample size


number of MCMC burnins


number of saved samples


# This function generates positive definite matrices for testing purposes 
# with specificied eigenvalues
Posdef <- function (n,ev)
  Z <- matrix(ncol=n, rnorm(n^2))
  decomp <- qr(Z)
  Q <- qr.Q(decomp)
  R <- qr.R(decomp)
  d <- diag(R)
  ph <- d / abs(d)
  O <- Q %*% diag(ph)
  Z <- t(O) %*% diag(ev) %*% O
eig1 <- rep(1,2)
eig2 <- rep(0.75,3)
#eig3 <- rep(0.25,3)
eig_val <- c(eig1,eig2)
z <- Posdef(5,eig_val)
Mu <- rep(0,5)
Sigma <- solve(z)
Y <- mvrnorm(n=5,mu=Mu,Sigma=Sigma)
S <- t(Y)%*%Y
out <- GHS_est(S,50,100,5000)
est_matrix <- apply(out[[1]],c(1,2),mean)