Description
Adaptive Bayesian Graphical Lasso.
Description
Implements a Bayesian adaptive graphical lasso data-augmented block Gibbs sampler. The sampler simulates the posterior distribution of precision matrices of a Gaussian Graphical Model. This sampler was adapted from the original MATLAB routine proposed in Wang (2012) <doi:10.1214/12-BA729>.
README.md
Adaptive Bayesian Graphical Lasso
This is the source code for the R package "abglasso". It provides a function, using a Bayesian graphical lasso MCMC sampler, to return the posterior distribution of:
- covariance matrices, and
- precision matrices.
