Hi all!
This blog is about the latest addition to my package SBGLM: a sparse linear regression. This was actually the first model I intended to put in the package, but I didn’t had time to finish implementing it during last term.
Hey! I’ve just released a package on Github called SBGLM, which stands for Sparse Bayes Generalized Linear Models. The purpose of this package is mainly a way to store a lot of code that I have rotting in my laptop, which I think is relevant and useful. The models will follow the Bayesian tradition of the “spike-and-slab” prior for sparsity (Mitchell and Beauchamp 1988), so do not expect to see the so called “Bayesian Lasso” here because it doesn’t work. The idea is that, as time permits, I will be adding more models to the package.