1.9-20 (11 Jan 2024) ------ Fix for Matti when RJ = FALSE 1.9-19 (27 Nov 2023) ------ fixed %d issue in warning for Kurt 1.9-18 (20 Aug 2023) ------ fixed realloc(0) issue 1.9-17 (06 Jan 2023) ------ sprintf -> snprintf 1.9-16 (19 Oct 2022) ------ clang-15 warning fixes 1.9-15 (06 Apr 2022) ------ USE_FC_LEN updates 1.9-14 (28 Mar 2022) ------ Updated links and changed DOUBLE constants as per Ripley 1.9-13 (27 Nov 2019) ------ Fixed try class problem 1.9-12 (27 Nov 2019) ------ shortened title to under 65 characters 1.9-11 (15 Nov 2019) ------ updated author to Author to include Cleve Moler (dpotri/LINPACK) and Berwin Turlach (qpgen2/quadprog) for Brian 1.9-10 (10 Jun 2019) ----- Updated linalg.c/.h BLAS and Lapack headers (from tgp) in response to gcc-9 LTO issue point out by Brian 1.9-9 (06 Mar 2019) ----- fixed a bug in use of lars output, and removed example init from monomvn to bmonomvn due to lambda mismatch that I don't have time to debug right now 1.9-8 (14 Sep 2018) ----- Expanded exponential to Gamma prior for Student-t errors to support Chris Franick's Bayes Factor paper fixed Bayesian Lasso reference added monomvn_init.c 1.9-7 (28 Dec 2016) ----- Fixed Brian Ripley's Solaris problems; although there are some annoying warnings 1.9-6 (10 Feb 2015) ----- moved R.h and Rmath.h out of extern C for new g++ (via linking to tgp) fixed three abs to fabs in matrix.c fixed some other warnings from gcc compiler added line to address bug arizing from NaN returned by RMSEP 1.9-5 (22 May 2014) ----- Fixed kl.norm bug thanks to Felix-Antoine Fortin, and made note in documentation that the order of arguments is reversed compared to other references like Wikipedia removed License 1.9-4 (17 April 2013) ----- fixed fortran array bounds issue from quadprog pointed out by BR 1.9-3 (25 Oct 2012) ----- fixed ridge inequality bug causing lambda2 to not get sampled changed how get.lambda works for a higher fidelity search 1.9-2 (1 July 2012) ----- removed orphaned accuracy dependency 1.9-1 (25 June 2012) ----- typo fixes and updates of docs from 1.9 version 1.9 (20 June 2012) --- added formal documentation of the horseshoe implementation 1.8-10 (14 April 2012) ------ fixed NULL issues pointed out by BR 1.8-9 (07 Jan 2012) ----- shortended blasso examples 1.8-8 (06 Jan 2012) ----- added NAMESPACE file 1.8-7 (16 Dec 2011) ----- Minor fixes for Brian Ripley 1.8-6 (7 July 2011) ----- allow rd=FALSE in blasso to specify fixing lamda2 at its starting value 1.8-5 (7 March 2011) ----- minor chance to regress.lars to correct for cv.lars output format change in latest lars package 1.8-4 (23 Feb 2011) ----- Updated rhelp.c file with new my_r_process_events fixed off-by-one error in Cp method in regress.lars 1.8-3 (23 April 2010) ----- fixed another error pointed out by Ripley 1.8-2 (21 April 2010) ----- replaced isinf by R_FINITE as suggested by Brian Ripley 1.8-1 (03 Mar 2010) ----- now doing n_j <= i + 2 for stabel regression check in Bmonomvn fixed rao.s2 bug that was causing a segmentation fault 1.8 (13 Jan 2010) --- implemented the Griffin & Brown Normal-Gamma prior in the Park & Casella lasso prior framework 1.7-4 (16 Nov 2009) ----- added an option to nave no (implicit) intercept in the model by popular demand fixed embarassing typo in log_likelihood calculation that was causing NaNs to be returned for the log posterior 1.7-3 (18 Aug 2009) ----- rolled out Horseshoe for bmonomvn fixed a bug in bridge that was causing horseshoe to be run instead 1.7-2 (2 June 2009) ----- removed assertion in Blasso::RJup due to check failure for OSX in bridge example; assertion may be switched back on when DEBUG = TRUE 1.7-1 (27 May 2009) ----- added llik_norm hooks to calculate the Bayes Factor between the Student-t and normal models initial implemention of Horeshoe shrinkage -- bhs function available but undocumented changed to more agressive (larger) thinning when Student-t errors are being used -- now allow real-vaued thinning level in bmonomvn. Mixing in nu is improved but the code is now slower 1.7 (6 April 2009) --- now calculating the covariance of the mean vector in C for the predictive covariance calculation in R implemented Student-t via scale mixtures (Geweke, 1993), including the pooled-nu version in bmonomvn for multivariate-t inference added subset argument to plot.blasso in order to reduce clutter in tau2i and omega2 printing now calculating the likelihood for each sample saved from the posterior in blasso propogated llik to Ellik calculation in bmonomvn capm = TRUE now default for bmonomvn, and now allowing capm = TRUE when method = "lasso" made RJ = "p" the default accumumating S != 0 and Si != 0 probabilities in bmonomvn added pnz argument to randmvn to allow the specification of the number of non-zero betas in each round of the buildup of mu and S, thereby deternining the number of non-zero entries of S 1.6-1 (3 Dec 2008) ----- valgrind found some errors and leaks in last version, now fixed 1.6 (2 Dec 2008) --- added R matrix to C code, and now calculting the normalized X considering only those with R=0 added Data Augmentation to complete the monotone missingness pattern in bmonomvn added financial returns data set from NYSE and AMEX, with the market (S&P500) return to be used as a factor fixed bug in new integrated RJMCMC implementation forcing the first p columns to be the most observed when using factor regressions in monomvn; may make this more general later added "factor" method to bomonmvn and allow QP solutions to ignore factors by specifying an integer argument to bmonomvn rather than TRUE 1.5 (13 Nov 2008) --- implemented Throughton & Godsill RJ proposals that integrate out beta -- need to consider integrating out s2 as in tgp added mprior argument to allow Binomial(m|M,Mprior) option when mprior != 0, and Unif over 0,...,M otherwise switched back to Ellik.norm for bmonomvn.Rd examples now tallying lpost in the traces of blasso regressions within bmonomvn added plot.monomvn which currently only supports visualization of the variance of mu and S under the Bayesian posterior (bmonomvn), and samples from the QP solutions; see below added structures for calculating the mean and variance of mu and S to accomodate the MAP versions of the same added the ability to sample from the posterior distribution of the solution to a Quadratic Program based on (samples) of mu and Sigma 1.4-1 (18 Sept 2008) ----- Ellik now returns NA if sechol(S1) doesn't work fixed bug in obs estimator added sqrt to rmse.muS now using unbiased cov calculations which has led to improved performace (drastically in some cases) added the "factor" method option to do monomvn style (known) factor based estimates of mu and Sigma switched back to Ellik.norm for monomvn.Rd examples 1.4 (20 July 2008) --- removed need to store XtX in blasso explicitly, relying instead on A and Xtx_diag added economy option to bmonomvn to save on storage when running several (thousand) blassos, as would happen for large ncol(y) precomputing full Xnorm and X (normalized) in the Bonomvn module so that it doesn't need to be duplicated (in smaller chunks) within all Blasso modules corrected the bn0 summary.blasso calculation to use the right sampling (-burnin) range and denominator made regression traces in bmonomvn be stripped down "blasso" class objects so that the blasso methods like print and summary can be used made thinning level dynamic in bmonomvn, depending on the regression model (i.e., lasso) and RJ smaller examples throught (b)monomvn for faster R CHECK, and smaller final blasso example comparing to ML lasso added parsimonious method for generating random mu and S within the randmvn function Ridge regression implemented as a special case in the blasso function (added bridge function as more direct interface) lambda2 now walks under the prior when m=0 under lasso, but not under ridge; fixed s2 to use Jeffrey's prior ecaluation in log_posterior added code to check for monotone pattern in bmonomvn that will provide the indicator matrix needed for monotone data augmentation in a later version added Ellik.norm function to calculate the expected log likelihood of an estimated normal distribution relative to the true but don't actually use it replaced code in the documentation files to use a new rmse.muS function as a metric for comparison instead of kl.norm 1.3-1 (19 June 2008) ----- added cleanup feature to allow interupts within C code to blasso and bmonomvn also fixed a bug involving reading in the traces of bmonomvn regressions RJ models start in 90% saturate model now, instead of 100% saturated added the ability to specify starting mu, S and lambda values for bmonomvn (where appropriate) now extracting lambda from lars and ridge methods for use as starting values in bmonomvn now providing estimats of the variance of the estimates for S, via the output S.var added batch option to monomvn function in order to force a regression for each column (when FALSE) 1.3 (9 June 2008) --- added calculations of log posterior in blasso added reversible jump (RJ) variable selection where proposals come from "full updating" a la Brooks & Ehlers. This directly effects the Bayesian Lasso -- adding a new RJ option among others. Of course, this method is now available to the bmonomvn algorithm as well added trace plots to plot.blasso for s2 and lambda2 in addition to new model order option "m" when RJ=TRUE changed lamnda2 default prior setting from (r,d)=(1,1) to (2,0.1) to avoid singular regressions when RJ is used with the improper s2 prior with (a,b)=(0,0) changed the way bmonomvn and blasso take many of its hierarchical prior arguments 1.2 (8 May 2008) --- fixed syntax errors in the documentation files and filled out the INDEX file Implemented Bayesian Lasso version resulting in a new function called bmonomvn. A standalone interface to the Bayesian Lasso is also provided via a blasso function added a symmetric option to kl.norm 1.1-4 (11 Nov 2007) ----- fixed lambda recording bug in regress.ridge 1.1-3 (05 Nov 2007) ----- added verb=2 and verb=3 arguments for printing each of the ML regression estimators, and new mu entries and cols of S removed verbose LGPL in DESCRIPTION 1.1-2 (31 Oct 2007) ----- summary.monomvn now calculates the number of zeros in the covariance matrix (& inv covar matrix) when using the lasso method -- for summarizing pairwise marginal (and conditional) independence a new plot.summary.monomvn function makes histograms of the numbers of zeros in each column of the covariance matrix and its inverse kl.norm now returns Inf with a warning if there is a truly non-positive definite matrix increased minimum (m) number of observations in rmono 1.1-1 (21 Aug 2007) ----- still having problems with the "forward.stagewise" method -- have emailed Hastie added ridge regression with a silly heuristic on the lower lower bound for lambda when p>n added validation="Cp" for Mallows Cp method for choosing the best lars model 1.1: (13 Aug 2007) ---- added lars package support for lasso, etc; ridge regression does not seem to work for the big-p small-n problem another special case in addy len(m1)=1, possibly due to the s22.1 calculation that was modified in the last version 1.0-3: (03 Aug 2007) ------ added url to DESCRIPTION and each relevant .Rd file fixed verbosity/validation error in the call of regress from addy simplified s22.1 calculation in addy to follow Stambaugh fixed pls author last name removed print(full) from rmono 1.0-2: (10 July 2007) ------ added validation argument to allow forcing of LOO ab=NULL is now the default in rmono.R cosmetic changes to documentation, particularly for monomvn 1.0-1: (11 June 2007) ------ error -> stop in posdef.approx