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.
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")
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 theData_
files for use with HS-GHS, which is implemented in MATLAB. - The files
n40p1q50_RDStoCSV.R
andHSGHS_data_n40p30q50.R
are also used to convert certain datasets to csv files for MATLAB.
- Files with names that begin with
- 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.
- These files have names beginning with
- 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.