A Simple Sampler for the Horseshoe Estimator

In this note we derive a simple Bayesian sampler for linear regression with the horseshoe hierarchy. A new interpretation of the horseshoe model is presented, and extensions to logistic regression and alternative hierarchies, such as horseshoe+, are discussed. Due to the conjugacy of the proposed hierarchy, Chib's algorithm may be used to easily compute the marginal likelihood of the model.

• Publication year

  2015

• Venue

  IEEE Signal Processing Letters

• Publication date

  2015-08-17

• Fields of study

  Mathematics, Computer Science

• Identifiers
  DOI 10.1109/LSP.2015.2503725arXiv 1508.03884
• External record

  Open on Semantic Scholar

• Source metadata

  Semantic Scholar

• No claims are published for this paper.

• No concepts are published for this paper.

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