[R-sig-ME] horseshoe priors in MCMCglmm?
bachlaw01 at outlook.com
Sun Feb 21 22:09:46 CET 2016
Certain authors have been reporting impressive shrinkage performance from incorporation of the so-called "horseshoe" (http://www.jmlr.org/proceedings/papers/v5/carvalho09a/carvalho09a.pdf) and "horseshoe plus" (http://arxiv.org/pdf/1502.00560v2.pdf) priors into their MCMC sampling.
I've seen a fair amount of attention to incorporating these into Stan programming, but I still prefer to use MCMCglmm at times, particularly with large groups. Has anyone successfully incorporated any of the horseshoe priors for usage in MCMCglmm, through parameter expansion or otherwise?
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