Posterior consistency in linear models under shrinkage priors

DOI10.1093/BIOMET/AST028zbMath1279.62139arXiv1104.4135OpenAlexW2116006439MaRDI QIDQ2870265

Nate Strawn, Jaeyong Lee, Artin Armagan, Waheed U. Bajwa, David B. Dunson

Publication date: 17 January 2014

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1104.4135

zbMATH Keywords

shrinkage estimationheavy tailshigh-dimensional dataposterior consistencyBayesian lassogeneralized double Pareto priorshorseshoe priors

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Linear regression; mixed models (62J05) Bayesian inference (62F15)

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