Version 1.7 of the BayesReg package has now been released. There are several improvements in this version:
- Sampling speed has been improved for large design matrices
- Sampling speed has been improved when using block sampling with Gaussian data
- The sampling efficiency for the horseshoe+ has been significantly improved by using a modified sampler
As before, the precompiled MEX files for Windows, Linux and MacOSX to increase sampling speed can be obtained here. To use these, all you need to do is download this file and unzip the contents into the “bayesreg” folder.