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Local shrinkage rules, Lévy processes and regularized regression

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  • Nicholas G. Polson
  • James G. Scott

Abstract

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  • Nicholas G. Polson & James G. Scott, 2012. "Local shrinkage rules, Lévy processes and regularized regression," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 74(2), pages 287-311, March.
    • Handle: RePEc:bla:jorssb:v:74:y:2012:i:2:p:287-311
    DOI: j.1467-9868.2011.01015.x
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    File URL: http://hdl.handle.net/10.1111/j.1467-9868.2011.01015.x
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    Citations

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    Cited by:

    1. Annalisa Cadonna & Sylvia Fruhwirth-Schnatter & Peter Knaus, 2019. "Triple the gamma -- A unifying shrinkage prior for variance and variable selection in sparse state space and TVP models," Papers 1912.03100, arXiv.org.
    2. Posch, Konstantin & Arbeiter, Maximilian & Pilz, Juergen, 2020. "A novel Bayesian approach for variable selection in linear regression models," Computational Statistics & Data Analysis, Elsevier, vol. 144(C).
    3. Fan, Jianqing & Jiang, Bai & Sun, Qiang, 2022. "Bayesian factor-adjusted sparse regression," Journal of Econometrics, Elsevier, vol. 230(1), pages 3-19.
    4. Tamal Ghosh & Malay Ghosh & Jerry J. Maples & Xueying Tang, 2022. "Multivariate Global-Local Priors for Small Area Estimation," Stats, MDPI, vol. 5(3), pages 1-16, July.
    5. Nicholas G. Polson & James G. Scott, 2016. "Mixtures, envelopes and hierarchical duality," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 78(4), pages 701-727, September.
    6. Guhaniyogi, Rajarshi, 2017. "Convergence rate of Bayesian supervised tensor modeling with multiway shrinkage priors," Journal of Multivariate Analysis, Elsevier, vol. 160(C), pages 157-168.
    7. Bai, Jushan & Ando, Tomohiro, 2013. "Multifactor asset pricing with a large number of observable risk factors and unobservable common and group-specific factors," MPRA Paper 52785, University Library of Munich, Germany, revised Dec 2013.
    8. Matthew F. Dixon & Nicholas G. Polson & Kemen Goicoechea, 2022. "Deep Partial Least Squares for Empirical Asset Pricing," Papers 2206.10014, arXiv.org.
    9. P. Richard Hahn & Carlos M. Carvalho, 2015. "Decoupling Shrinkage and Selection in Bayesian Linear Models: A Posterior Summary Perspective," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 110(509), pages 435-448, March.
    10. Sylvia Fruhwirth-Schnatter & Peter Knaus, 2022. "Sparse Bayesian State-Space and Time-Varying Parameter Models," Papers 2207.12147, arXiv.org.
    11. Fabian Scheipl & Thomas Kneib & Ludwig Fahrmeir, 2013. "Penalized likelihood and Bayesian function selection in regression models," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 97(4), pages 349-385, October.
    12. Anindya Bhadra & Jyotishka Datta & Nicholas G. Polson & Brandon Willard, 2016. "Default Bayesian analysis with global-local shrinkage priors," Biometrika, Biometrika Trust, vol. 103(4), pages 955-969.
    13. Adam N. Smith & Jim E. Griffin, 2023. "Shrinkage priors for high-dimensional demand estimation," Quantitative Marketing and Economics (QME), Springer, vol. 21(1), pages 95-146, March.
    14. Mihaela Simionescu, 2021. "Italexit and the Impact of Immigrants from Italy on the Italian Labor Market," JRFM, MDPI, vol. 14(1), pages 1-14, January.
    15. Kshitij Khare & Malay Ghosh, 2022. "MCMC Convergence for Global-Local Shrinkage Priors," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 20(1), pages 211-234, September.

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