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This repository was archived by the owner on Nov 17, 2025. It is now read-only.
The Gibbs sampler for the horseshoe prior does not work on the conditional distributions found in the model, but on the conditional distributions of a transformed version of the model.
In particular, it exploits the fact that a half-Cauchy distribution can be intepreted as a mixture of inverse-gamma distributions, and that if $Z \sim \operatorname{InvGamma}(1, a)$ then $Z \sim 1 / \operatorname{Exp}(a)$.
We should instead implement these relations and update construct_samplers so it finds this structure and builds the sampling steps for each variable in the original model expression.