Generalized double Pareto shrinkage

DOI10.5705/ss.2011.048zbMath1259.62061arXiv1104.0861OpenAlexW2117988331MaRDI QIDQ4908784

Artin Armagan, Jaeyong Lee, David B. Dunson

Publication date: 7 March 2013

Published in: Statistica Sinica (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1104.0861

zbMATH Keywords

shrinkage estimationheavy tailshigh-dimensional datamaximum a posteriori estimationLASSOrelevance vector machinerobust prior

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Bayesian inference (62F15) Numerical analysis or methods applied to Markov chains (65C40)

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