Generalized Approximate Message Passsing (GAMP) with known variance and prior hyperparameters for regression
Source code from Dr. Dimitris Korobilis site https://sites.google.com/site/dimitriskorobilis/matlab/gamp which accompany article Korobilis, D. (2019). High-dimensional macroeconomic forecasting using message passing algorithms*. Journal of Business & Economic Statistics, 1–30. doi:10.1080/07350015.2019.1677472