PEPBVS: Bayesian Variable Selection using Power-Expected-Posterior Prior
Performs Bayesian variable selection under normal linear
models for the data with the model parameters following as prior distributions either
the power-expected-posterior (PEP) or the intrinsic (a special case of the former)
(Fouskakis and Ntzoufras (2022) <doi:10.1214/21-BA1288>,
Fouskakis and Ntzoufras (2020) <doi:10.3390/econometrics8020017>).
The prior distribution on model space is the uniform over all models
or the uniform on model dimension (a special case of the beta-binomial prior).
The selection is performed by either implementing a full enumeration
and evaluation of all possible models or using the Markov Chain
Monte Carlo Model Composition (MC3) algorithm (Madigan and York (1995) <doi:10.2307/1403615>).
Complementary functions for hypothesis testing, estimation and
predictions under Bayesian model averaging, as well as, plotting and
printing the results are also provided. The results can be compared to the
ones obtained under other well-known priors on model parameters and model spaces.
| Version: |
2.1 |
| Depends: |
R (≥ 2.10) |
| Imports: |
BAS, BayesVarSel, Matrix, mcmcse, mvtnorm, Rcpp (≥ 1.0.9) |
| LinkingTo: |
Rcpp, RcppArmadillo, RcppGSL |
| Published: |
2024-11-12 |
| Author: |
Konstantina Charmpi [aut, cre],
Dimitris Fouskakis [aut],
Ioannis Ntzoufras [aut] |
| Maintainer: |
Konstantina Charmpi <xarmpi.kon at gmail.com> |
| License: |
GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| NeedsCompilation: |
yes |
| SystemRequirements: |
GNU GSL |
| Materials: |
NEWS |
| CRAN checks: |
PEPBVS results |
Documentation:
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