patwa posted on 03-30-2011 3:05 PM
I have a standard multiple regression model y = my + Xb + e and would like to perform shrinkage on the b_i elements using a double exponential (Laplace) prior over these. Is this possible in Infer.NET? have there been any examples posted?
minka replied on 03-30-2011 3:11 PM
You can create a variable with a Laplace prior by creating a Gaussian variable whose variance is Gamma(1) distributed:
Variable<double> x = Variable.GaussianFromMeanAndVariance(0, Variable.GammaFromShapeAndRate(1,1));