This repository includes an R package for implementing joint mean-covariance estimation using the generalized mean-covariance bridge (GMCB) prior and code for replicating the simulations and corresponding plots in A Bayesian Generalized Bridge Regression Approach to Covariance Estimation in the Presence of Covariates.

GMCB

This subdirectory contains the files necessary to install the GMCB package, which can be installed with devtools::install_github:

library(devtools)
devtools::install_github(repo = "czhao15103/GMCB/GMCB")

Simulations

This subdirectory contains files to replicate the simulations and plots in the paper. The file HSGHS.m, which was used to obtain results from the HS-GHS method, was obtained from the HS_GHS repostitory, and the file GHS.m, which was used to obtain results from the GHS method, was obtained from the GHS repository.

A brief description of the files is given below.

• Data generating files
  • Files with names that begin with Data_ generate the datasets used for the simulations.
  • Files with names that begin with matlab_data_ convert the datasets generated by the Data_ files for use with HS-GHS, which is implemented in MATLAB.
  • The files n40p1q50_RDStoCSV.R and HSGHS_data_n40p30q50.R are also used to convert certain datasets to csv files for MATLAB.
• Method files
  • These files perform the simulations.
  • Files are named using the method and data scenario used in the file. For example, the file `GMCBMH_moderatesparseAR.R" uses the GMCB-MH algorithm for the data scenario labeled "AR1, moderate, sparse signals"
  • Files that end with _ComputationAssessment assess the runtimes and multivariate effective sample sizes for the corresponding methods and data scenarios.
  • Files that end with _CICoverage assess the frequentist coverage of posterior credible intervals.
• Results files
  • These files have names beginning with Results_ and compile the output from the method files.
• Plotting files
  • These files were used to produce plots in the paper.
  • Plots_GBRDensity.R produces plots of the generalized bridge prior density.
  • Files with names that begin with acf_ produce acf plots for the simulation scenarios.
• MATLAB files
  • These files were used to implement HS-GHS and GHS.