add point_cauchy prior family

[willwerscheid]

interface to EbayesThresh

[stephens999]

does EbayesThresh do point-cauchy? I thought it was either point-laplace or cauchy? maybe i'm misrembering

[willwerscheid]

yes, it's point-Cauchy (or rather, a mixture of a pointmass and a scale mixture of normals with polynomial tails that the authors call "quasi-Cauchy")

[pcarbo]

There are two options: prior = "cauchy" and prior = "laplace". Only the laplace prior is allowed for case of heterogeneous variances.

[willwerscheid]

right, but the "laplace" option is actually point-laplace and "cauchy" is as i've described above

[pcarbo]

Yes, you are right to clarify that point.

[stephens999]

thanks for clarification - yes, i was wrong

[willwerscheid]

EBayesThresh doesn't return a posterior second moment or sampler, so adding the point-Cauchy family might be more trouble than it's worth