btf (1.2)

Estimates Univariate Function via Bayesian Trend Filtering.

Trend filtering uses the generalized lasso framework to fit an adaptive polynomial of degree k to estimate the function f_0 at each input x_i in the model: y_i = f_0(x_i) + epsilon_i, for i = 1, ..., n, and epsilon_i is sub-Gaussian with E(epsilon_i) = 0. Bayesian trend filtering adapts the genlasso framework to a fully Bayesian hierarchical model, estimating the penalty parameter lambda within a tractable Gibbs sampler.

Maintainer: Edward A. Roualdes
Author(s): Edward A. Roualdes

License: GPL (>= 2.0)

Uses: coda, Matrix, Rcpp, knitr

Released over 2 years ago.