horseshoe {ebnm}

Constructor for horseshoe class

Description

Creates a horseshoe prior (see Carvalho, Polson, and Scott (2010)). The horseshoe is usually parametrized as \theta_i \sim N(0, s^2 \tau^2 \lambda_i^2), \lambda_i \sim \mathrm{Cauchy}^+(0, 1), with s^2 the variance of the error distribution. We use a single parameter scale, which corresponds to s\tau and thus does not depend on the error distribution.

Usage

horseshoe(scale)

Arguments

scale

The scale parameter (must be a scalar).

Value

An object of class horseshoe (a list with a single element scale, described above).