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The R package sns implements Stochastic Newton Sampler (SNS), a Metropolis-Hastings Monte Carlo Markov Chain algorithm where the proposal density function is a multivariate Gaussian based on a local, second-order Taylor series expansion of log-density. The mean of the proposal function is the full Newton step in Newton-Raphson optimization algorithm. Taking advantage of the local, multivariate geometry captured in log-density Hessian allows SNS to be more efficient than univariate samplers, approaching independent sampling as the density function increasingly resembles a multivariate Gaussian. SNS requires the log-density Hessian to be negative-definite everywhere in order to construct a valid proposal function. This property holds, or can be easily checked, for many GLM-like models. When initial point is far from density peak, running SNS in non-stochastic mode by taking the Newton step, augmented with with line search, allows the MCMC chain to converge to high-density areas faster. For high-dimensional problems, partitioning of state space into lower-dimensional subsets, and applying SNS to the subsets within a Gibbs sampling framework can significantly improve the mixing of SNS chains. In addition to the above strategies for improving convergence and mixing, sns offers diagnostics and visualization capabilities, as well as a function for sample-based calculation of Bayesian predictive posterior distributions.
The R package MfUSampler provides Monte Carlo Markov Chain machinery for generating samples from multivariate probability distributions using univariate sampling algorithms such as Slice Sampler and Adaptive Rejection Sampler. The sampler function pe
Prediction rule ensembles (PREs) are sparse collections of rules, offering highly interpretable regression and classification models. This paper presents the R package pre, which derives PREs through the methodology of Friedman and Popescu (2008). Th
Although models for count data with over-dispersion have been widely considered in the literature, models for under-dispersion -- the opposite phenomenon -- have received less attention as it is only relatively common in particular research fields su
We present and describe the GPFDA package for R. The package provides flexible functionalities for dealing with Gaussian process regression (GPR) models for functional data. Multivariate functional data, functional data with multidimensional inputs,
SDRcausal is a package that implements sufficient dimension reduction methods for causal inference as proposed in Ghosh, Ma, and de Luna (2021). The package implements (augmented) inverse probability weighting and outcome regression (imputation) esti