TuringLang / TuringGLM.jl

Bayesian Generalized Linear models using `@formula` syntax.
https://turinglang.org/TuringGLM.jl/dev
MIT License
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Suggestion: Bayesian median of means #69

Open ParadaCarleton opened 1 year ago

ParadaCarleton commented 1 year ago

As laid out here, the Bayesian median of means is a robust but always-consistent estimator of the mean (unlike e.g. the median). It applies the Bayesian bootstrap to the data to create a posterior distribution, then uses the median of the posterior. BRMS suggests using robust estimators when setting weakly-informative priors; maybe this is a good option for centering data? I might add this later on if that’s ok with you guys.

storopoli commented 1 year ago

For me it is OK, but are we clear that this is a good default? I have not seem it implemented in other formula Bayes packages like brms or bambi.