Software

• Empirical Bayes prediction in sparse linear regression.

  Paper: "Empirical priors for prediction in sparse high-dimensional linear regression".
  Downloadable file:   ebpred.R
  There is now an R package available here (developed by Yiqi Tang).

• Empirical Bayes inference on a monotone density.

  Paper: "Empirical priors and posterior concentration rates for a monotone density".
  Downloadable file:   ebmono.R

• Empirical Bayes inference in high-dimensional piecewise constant models.

  Paper: "Asymptotically optimal empirical Bayes inference in a piecewise constant sequence model".
  Downloadable file:   ebpiece.R

• Solving Fredholm equations of the first kind.

  Paper: "On an algorithm for solving Fredholm equations of the first kind".
  Downloadable file:   fredholm.R

• Post-selection performance of prediction intervals in regression.

  Paper: "On prediction of future insurance claims when the model is uncertain".
  Downloadable file:   pred.R

• Recursive Bayesian nonparametric predictive distribution.

  Paper: "Real-time Bayesian nonparametric prediction of solvency risk".
  Downloadable file:   dpmrec.R   dpmrec.Rd

• Empirical Bayes variable selection and inference in a sparse linear regression model.

  Paper: "Empirical Bayes posterior concentration in sparse high-dimensional linear models".
  Downloadable file:   ebreg.R

• Empirical Bayes estimation of a sparse normal mean vector.

  Paper: "Asymptotically minimax empirical Bayes estimation of a sparse normal mean"
  Downloadable file:   ebsparse.R

• Dirichlet process mixture of log-normal distributions.

  Paper: "A flexible Bayesian nonparametric model for predicting future insurance claims"
  Downloadable file:   dpmslice.R

• Gamma distribution with small shape parameter.

  Paper: "Simulating from gamma distribution with small shape parameter"
  Downloadable file:   rgamss.R

• Inferential models—heritability coefficient in mixed effect models.

  Paper: "Exact prior-free probabilistic inference on the heritability coefficient in a linear mixed model" .
  Downloadable files:   imvch.R   assay.Rd

• Inferential models—prediction.

  Paper: "Prior-free probabilistic inference of future observations"
  Downloadable file:   impred.R

• Inferential models—Poisson distribution.

  Paper: "Optimal inferential models for a Poisson mean"
  Downloadable file:   impois.R

• Inferential models—the basics.

  Paper: "Inferential models: A framework for prior-free posterior probabilistic inference"
  Downloadable file:   imbasics.R

• Robust regression via a hybrid predictive recursion-EM algorithm

  Paper: "Robust regression via predictive recursion maximum likelihood"
  Downloadable file:   prreg.R

• Predictive recursion and predictive recursion marginal likelihood.

  Downloadable files:   pr.R   pr.c
  Contains R and R+C versions of predictive recursion (PR).
  Instructions provided in the .R file.
  PR marginal likelihood can be defined easily using output of PR.

• Stochastic approximation–simulated annealing (SASA) method for finite mixtures.

  Paper: "An approximate Bayesian marginal likelihood approach for estimating finite mixtures".
  Downloadable files:   sasa.R   sasa.c   galaxy.txt
  Instructions in the .R file.
  Examples with galaxy data: in R, type:

  source("sasa.R")
  gal.loc.mix <- galaxy.known()
  gal.locscale.mix <- galaxy.lsmix()