Compound Poisson processes, latent shrinkage priors and Bayesian nonconvex penalization

DOI10.1214/14-BA892zbMath1335.62073arXiv1308.6069MaRDI QIDQ273588

Jin Li, Zhihua Zhang

Publication date: 22 April 2016

Published in: Bayesian Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1308.6069

zbMATH Keywords

Bernstein functions; ECME algorithms; latent shrinkage parameters; nonconvex penalization; subordinators

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

62J07: Ridge regression; shrinkage estimators (Lasso)

62G05: Nonparametric estimation

62F15: Bayesian inference

Uses Software

• sparsenet