/Bayesian-Linear-Model-Comparison

A comparative study of Bayesian Linear Model in different inference algorithm

Primary LanguageR

Bayesian-Linear-Model-Comparison

Comparing different inference algorithm on a Bayesian linear model with the Prestige dataset [1]. Bayesian linear Model and Variational Bayes algorithm are from Brodersen's tutorial [2].

Comparing different algorithms

  1. Variational Bayes (under development)
  2. Metropilis-Hasting Algorithm (under development)
  3. Elliptical slice sampler for Beta [3]

Reference

  1. Functions and Datasets to Accompany J. Fox and S. Weisberg, An R Companion to Applied Regression, Second Edition, Sage, 2011.
  2. https://people.inf.ethz.ch/bkay/talks/Brodersen_2013_03_22.pdf
  3. Murray, Iain, Ryan Prescott Adams, and David JC MacKay. "Elliptical slice sampling." AISTATS. Vol. 13. 2010.