horseshoe swMATH ID: 29790 Software Authors: Stephanie van der Pas, James Scott, Antik Chakraborty, Anirban Bhattacharya Description: R package horseshoe: Implementation of the Horseshoe Prior. Contains functions for applying the horseshoe prior to high- dimensional linear regression, yielding the posterior mean and credible intervals, amongst other things. The key parameter tau can be equipped with a prior or estimated via maximum marginal likelihood estimation (MMLE). The main function, horseshoe, is for linear regression. In addition, there are functions specifically for the sparse normal means problem, allowing for faster computation of for example the posterior mean and posterior variance. Finally, there is a function available to perform variable selection, using either a form of thresholding, or credible intervals. Homepage: https://cran.r-project.org/web/packages/horseshoe/index.html Source Code: https://github.com/cran/horseshoe Dependencies: R Related Software: R; glmnet; BayesReg; EBayesThresh; ebnm; flashier; Rmosek; microbenchmark; Mosek; trust; deconvolveR; mixsqp; ashr; REBayes; EbayesThresh; UCI-ml; rstanarm; fastHorseshoe; WinBUGS; ncvreg Cited in: 3 Publications all top 5 Cited by 7 Authors 2 Martin, Ryan 1 Bhadra, Anindya 1 Datta, Jyotishka 1 Ning, Bo 1 Polson, Nicholas G. 1 Tang, Yiqi 1 Willard, Brandon T. Cited in 3 Serials 1 Statistical Science 1 Journal of Machine Learning Research (JMLR) 1 Sankhyā. Series A Cited in 2 Fields 2 Statistics (62-XX) 1 Computer science (68-XX) Citations by Year