The mombf R package implements Bayesian model selection (BMS) and model averaging (BMA) for linear, asymmetric linear, median and quantile regression. This is the main package implementing the family of non-local prior (NLP) distributions (see Johnson and Rossell (2010, 2012) for a more detailed treatment), although other priors (mainly Zellner’s) are also implemented. The main features are:
Density, cumulative density, quantiles and random numbers for NLPs
BMS in linear regression (Section 1, Johnson and Rossell (2010, 2012).
BMA in linear regression (Section 4, Rossell and Telesca (2016).
Exact BMS and BMA under orthogonal and block-diagonal regression (Section 5, Papaspiliopoulos and Rossell (2016).
BMS and BMA for certain generalized linear models (Section 6, Johnson and Rossell (2012); Rossell et al. (2013)
BMS in linear regression with non-normal residuals (Rossell and Rubio, 2016).
Particular cases are Bayesian versions of asymmetric least squares, median and quantile regression. This manual introduces some basic notions underlying NLPs and illustrates the use of R functions implementing the main operations required for model selection and averaging. Most of these are internally implemented in C++ so, while they are not optimal in any sense they are designed to be minimally scalable to high dimensions (large p).
This tool was created by David Rossell, Donatello Telesca, and other contributing authors.