dattahub / bayes-sqlasso

Work in progress draft and codes for Bayesian square-root Lasso

Hello 👋

My name is Jyotishka Datta. I am an Assistant Professor of Statistics in the Department of Statistics at Virginia Tech (Virginia Polytechnic Institute and State University).

My research interest spans Bayesian methodology and theory for structured, often high-dimensional data. I have contributed to the areas of global-local priors, multiple testing, shrinkage estimation, sparse signal recovery, nonparametric Bayes, bioinformatics, and default Bayes. Recent applications include next-gen sequencing studies, auditory neuroscience, ecology and crime forecasting.

My Google Scholar Profile: http://bit.ly/1OTdd9h, and my Github repo: https://github.com/dattahub.

Please visit: https://jyotishkadatta.wordpress.com/ for details on my publications, teaching, CV etc.

• 📫 How to reach me: jyotishka[at]vt[dot]edu.
• 😄 Pronouns: he/him/his.

bayes-sqlasso's Issues

Stan Code

@brandonwillard We should implement the Stan code for Bayes sqrt-Lasso since there is a nice normal scale mixture hierarchy and Stan codes are becoming more and more popular among users.

Issue with summarize function and plots

Fig. 1 is not correct - probably the posterior samples are wrongly summarized on my code eval_sql.R.
The individual simple plots, plot(Y); lines(thetahat) are working as expected.
sparse-means-sql-1.pdf

Sigma-scale Plot

We need a plot comparing HS and sqlasso in terms of the scale parameter, $\sigma$ (c.f. Figure 2 in [1]).

[1]: Polson, Nicholas G, and James G Scott. “Shrink Globally, Act Locally: Sparse Bayesian Regularization and Prediction.” Bayesian Statistics 9 (2010): 501–38.