Empirical Priors and Coverage of Posterior Credible Sets in a Sparse Normal Mean Model
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DOI: 10.1007/s13171-019-00189-w
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- Carlos M. Carvalho & Nicholas G. Polson & James G. Scott, 2010. "The horseshoe estimator for sparse signals," Biometrika, Biometrika Trust, vol. 97(2), pages 465-480.
- Nicholas Syring & Ryan Martin, 2019. "Calibrating general posterior credible regions," Biometrika, Biometrika Trust, vol. 106(2), pages 479-486.
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Keywords
Bayesian inference; Bernstein–von Mises theorem; Concentration rate; High-dimensional model; Uncertainty quantification;All these keywords.
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