Group Inverse-Gamma Gamma Shrinkage for Sparse Regression with Grouping Structure
Solve function with Cholesky decomposition.
Inverse digamma function.
GIGG regression
Gibbs sampler for GIGG regression with fixed hyperparameters.
Gibbs sampler for GIGG regression with hyperparameters estimated via M...
Iterative one rank update for matrix inverse.
Randomly generate a generalized inverse gaussian random variable.
A Gibbs sampler corresponding to a Group Inverse-Gamma Gamma (GIGG) regression model with adjustment covariates. Hyperparameters in the GIGG prior specification can either be fixed by the user or can be estimated via Marginal Maximum Likelihood Estimation. Jonathan Boss, Jyotishka Datta, Xin Wang, Sung Kyun Park, Jian Kang, Bhramar Mukherjee (2021) <arXiv:2102.10670>.