BB_SSL {BBSSL} | R Documentation |

This function runs BB-SSL, WBB with fixed prior weight, and WBB with random prior weight. It solves the optimization by calling function SSLASSO_2, a variant of the function SSLASSO in CRAN package 'SSLASSO': in the version used, we do NOT standardize the design matrix and allow inputting initial values of beta's.

```
BB_SSL(y, X, method = 3, lambda, NSample, a, b, maxiter=500, eps = 1e-3, burn.in = FALSE,
length.out = 50, discard = FALSE, alpha = 3, sigma = 1, initial.beta,
penalty = "adaptive", theta=0.5)
```

`y` |
A vector of continuous responses (n x 1). |

`X` |
The design matrix (n x p), without an intercept. |

`method` |
A number between c(1,2,3) to specify which method to run, method = 1 is fixed WBB, method = 2 is random WBB, method = 3 is BB-SSL. |

`lambda` |
A two-dim vector = c(lambda0, lambda1). |

`NSample` |
An integer which specifies the number of samples to be generated. |

`a` , `b` |
Parameters of the prior. |

`maxiter` |
An integer which specifies the maximum number of iterations for SSLASSO_2 (default maxiter= 500). |

`eps` |
Convergence criterion when running SSLASSO_2: converged when difference in regression coefficients is less than eps (default eps = 0.001). |

`burn.in` |
A boolean to specify whether to use annealing on a sequence of lambda0's (default burn.in = FALSE). |

`length.out` |
An integer to specify the length of sequence of lambda0's used in annealing. This value is not used when burn.in = FALSE. Default is 50. |

`discard` |
A boolean to specify whether to discard unconverged sample points. |

`alpha` |
The parameter for generating weights in BB-SSL, which follows n x Dirichlet(alpha,...,alpha). Default is 3. |

`sigma` |
Noise standard deviation. |

`initial.beta` |
A vector of initial values of beta to used when solving SSLASSO_2 (n x 1). |

`penalty` |
The penalty (prior) to be applied to the model. Either "separable" (with a fixed theta) or "adaptive" (with a random theta, where theta ~ B(a,p)). The default is "adaptive". |

`theta` |
Prior mixing proportion. For "separable" penalty, this value is fixed. For "adaptive" penalty, this value is used as a starting value. Default is 0.5. |

A list of matrices, including matrix beta (NSample x p) and matrix gamma (NSample x p).

Lizhen Nie lizhen@statistics.uchicago.edu, Veronika Rockova Veronika.Rockova@chicagobooth.edu

Nie, L., & Ročková, V. (2020). Bayesian Bootstrap Spike-and-Slab LASSO. arXiv:2011.14279.

Newton, M. A., Polson, N. G., and Xu, J. (2020). Weighted Bayesian bootstrap for scalable posterior distributions. Canadian Journal of Statistics (In Press).

```
# -------------- Generate Data --------------
n = 50; p = 12;
truth.beta = c(1.3, 1.3, 1.3, 1.3);
truth.sigma = 1
data = Generate_data(truth.beta, p, n, truth.sigma = 1, rho = 0.6,"block",4)
y = data$y; X = data$X; beta = data$beta
# --------------- set parameters -----------------
lambda0 = 7; lambda1 = 0.15; lambda = c(lambda0, lambda1)
a = 1; b = p #beta prior for theta
#--------------- BB-SSL -------------
# this is for demonstration of usage only
# in practice, you may want to use more iterations!
BB.SSL.result = BB_SSL(y, X, method = 3, lambda = c(lambda0, lambda1), NSample = 100, a, b,
maxiter = 500, length.out = 50, burn.in = FALSE, discard = TRUE, alpha=1,
initial.beta = rep(0,p))
# Alternatively, you can use SSLASSO_2 solution to get an initial value of beta's
result = SSLASSO_2(X, y, penalty = "adaptive", variance = "fixed", sigma = truth.sigma,
lambda1 = lambda1, lambda0 = seq(lambda1, lambda0, length.out = 50),
a = a, b = b,
max.iter = 500, initial.beta = rep(0,p))
fixed.WBB.result = BB_SSL(y, X, method = 1, lambda = c(lambda0, lambda1), NSample = 100,
a, b, maxiter = 500, length.out = 50, burn.in = FALSE,
discard = TRUE, initial.beta = result$beta[,50])
random.WBB.result = BB_SSL(y, X, method = 2, lambda = c(lambda0, lambda1), NSample = 100,
a, b, maxiter = 500, length.out = 50, burn.in = FALSE,
discard = TRUE, initial.beta = result$beta[,50])
BB.SSL.result = BB_SSL(y, X, method = 3, lambda = c(lambda0, lambda1), NSample = 100, a,
b, maxiter = 500, length.out = 50, burn.in = FALSE, discard = TRUE,
alpha=1, initial.beta = result$beta[,50])
```

[Package *BBSSL* version 0.1.0 Index]