monomvn

Estimation for Multivariate Normal and Student-t Data with Monotone Missingness

Estimation of multivariate normal and student-t data of arbitrary dimension where the pattern of missing data is monotone. Through the use of parsimonious/shrinkage regressions (plsr, pcr, lasso, ridge, etc.), where standard regressions fail, the package can handle a nearly arbitrary amount of missing data. The current version supports maximum likelihood inference and a full Bayesian approach employing scale-mixtures for Gibbs sampling. Monotone data augmentation extends this Bayesian approach to arbitrary missingness patterns. A fully functional standalone interface to the Bayesian lasso (from Park & Casella), Normal-Gamma (from Griffin & Brown), Horseshoe (from Carvalho, Polson, & Scott), and ridge regression with model selection via Reversible Jump, and student-t errors (from Geweke) is also provided.

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Description file content

Package
monomvn
Type
Package
Title
Estimation for Multivariate Normal and Student-t Data with Monotone Missingness
Version
1.9-10
Date
2019-06-10
Author
Robert B. Gramacy
Maintainer
Robert B. Gramacy
Description
Estimation of multivariate normal and student-t data of arbitrary dimension where the pattern of missing data is monotone. Through the use of parsimonious/shrinkage regressions (plsr, pcr, lasso, ridge, etc.), where standard regressions fail, the package can handle a nearly arbitrary amount of missing data. The current version supports maximum likelihood inference and a full Bayesian approach employing scale-mixtures for Gibbs sampling. Monotone data augmentation extends this Bayesian approach to arbitrary missingness patterns. A fully functional standalone interface to the Bayesian lasso (from Park & Casella), Normal-Gamma (from Griffin & Brown), Horseshoe (from Carvalho, Polson, & Scott), and ridge regression with model selection via Reversible Jump, and student-t errors (from Geweke) is also provided.
Depends
R (>= 2.14.0), pls, lars, MASS
Imports
quadprog, mvtnorm
License
LGPL
URL
NeedsCompilation
yes
Packaged
2019-06-10 14:59:53 UTC; bobby
Repository
CRAN
Date/Publication
2019-06-11 16:20:03 UTC

install.packages('monomvn')

1.9-10

2 months ago

http://bobby.gramacy.com/r_packages/monomvn

Robert B. Gramacy

LGPL

Depends on

R (>= 2.14.0), pls, lars, MASS

Imports

quadprog, mvtnorm

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