Local Shrinkage Rules, Lévy Processes and Regularized Regression
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Publication:5743138
DOI10.1111/j.1467-9868.2011.01015.xzbMath1411.62209arXiv1010.3390MaRDI QIDQ5743138
James G. Scott, Nicholas G. Polson
Publication date: 9 May 2019
Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1010.3390
Lévy processes; partial least squares; shrinkage; sparsity; normal scale mixtures; principal components regression
60G51: Processes with independent increments; Lévy processes
62F12: Asymptotic properties of parametric estimators
62H25: Factor analysis and principal components; correspondence analysis
62J07: Ridge regression; shrinkage estimators (Lasso)
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