Ontology highlight
ABSTRACT:
SUBMITTER: Shin M
PROVIDER: S-EPMC7954239 | biostudies-literature | 2020
REPOSITORIES: biostudies-literature
Shin Minsuk M Bhattachrya Anirban A Johnson Valen E VE
Journal of the American Statistical Association 20190917 532
We introduce a new shrinkage prior on function spaces, called the functional horseshoe prior (fHS), that encourages shrinkage towards parametric classes of functions. Unlike other shrinkage priors for parametric models, the fHS shrinkage acts on the shape of the function rather than inducing sparsity on model parameters. We study the efficacy of the proposed approach by showing an adaptive posterior concentration property on the function. We also demonstrate consistency of the model selection pr ...[more]