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Double exponential prior (Migrated from community.research.microsoft.com) RRS feed

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    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?

     

    Patrik

    Friday, June 3, 2011 6:41 PM

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    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));

    Friday, June 3, 2011 6:42 PM