doi:10.48550/arXiv.0907.2135>. 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.">

monomvn: Estimation for MVN and Student-t Data with Monotone Missingness (original) (raw)

Estimation of multivariate normal (MVN) and student-t data of arbitrary dimension where the pattern of missing data is monotone. See Pantaleo and Gramacy (2010) <doi:10.48550/arXiv.0907.2135>. 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.

Version: 1.9-21
Depends: R (≥ 2.14.0), pls, lars, MASS
Imports: quadprog, mvtnorm
Published: 2024-09-23
DOI: 10.32614/CRAN.package.monomvn
Author: Robert B. Gramacy [aut, cre] (with Fortran contributions from Cleve Moler (dpotri/LINPACK) as updated by Berwin A. Turlach (qpgen2/quadprog))
Maintainer: Robert B. Gramacy
License: LGPL-2 | LGPL-2.1 LGPL-3 [expanded from: LGPL]
URL: https://bobby.gramacy.com/r_packages/monomvn/
NeedsCompilation: yes
Materials:
In views: MissingData
CRAN checks: monomvn results

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