BMS toolbox for Matlab: Bayesian Model Averaging (BMA) (Scripts) Publisher's description
from stz Zeugner
Bayesian Model Averaging for linear models under Zellner's g prior
Bayesian Model Averaging for linear models under Zellner's g prior. Options include: fixed (BRIC, UIP, ...) and flexible g priors (Empirical Bayes, hyper-g), 5 kinds of model prior concepts, and model sampling via model enumeration or MCMC samplers (Metropolis-Hastings plain or reversible jump). Post-processing allows for inference according to different concepts (likelihood vs MCMC-based) and for plotting (posterior model size and coefficient densities, best models, model convergence, BMA comparison).
Needs the R D-COM interface or RAndFriends installed.
Works for Matlab 6.5 and later
For more details see:
System Requirements:MATLAB 7.9 (2009b)
Program Release Status: New Release
Program Install Support: Install and Uninstall