Shrinkage Priors and Selection

Code Project Slides Source Document Readings

Abstract

In this lecture we look at properties on priors for shrinkage estimators to have desirable properties.

In this lecture we look at properties that independent priors in regression should have to provide shrinkage and selection.

Articles: Carvalho, Polson & Scott (2010) The horseshoe estimator for sparse signals. Biometrika. 97:465-480

Fan & Li (2001) Variable Selection via Nonconcave Penalized Likelihood and Its Oracle Properties. JASA 96: 1248-1360

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Linear Models
Professor Merlise Clyde