Introduction

This Python package provides implementations for the Horseshoe and Horseshoe+ prior calculations found in "The Horseshoe+ Estimator of Ultra-Sparse Signals", " Default Bayesian analysis with global-local shrinkage priors" and "Prediction risk for global-local shrinkage regression".

Specifically,

• Generic numeric and symbolic functions--via mpmath and SymPy, respectively--for bivariate confluent hypergeometric functions.
• Expectation and moment calculations for the hypergeometric inverted-beta distribution.
• SURE values.

Installation

Install directly from the repository with the following:

$ pip install git+https://github.com/brandonwillard/hsplus-python

Development

After cloning the Git repository, use the -e option in the project directory:

$ pip install -e ./