Unknown

Dataset Information

0

Functional Horseshoe Priors for Subspace Shrinkage.


ABSTRACT: 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 procedure that thresholds the shrinkage parameter of the functional horseshoe prior. We apply the fHS prior to nonparametric additive models and compare its performance with procedures based on the standard horseshoe prior and several penalized likelihood approaches. We find that the new procedure achieves smaller estimation error and more accurate model selection than other procedures in several simulated and real examples. The supplementary material for this article, which contains additional simulated and real data examples, MCMC diagnostics, and proofs of the theoretical results, is available online.

SUBMITTER: Shin M 

PROVIDER: S-EPMC7954239 | biostudies-literature | 2020

REPOSITORIES: biostudies-literature

altmetric image

Publications

Functional Horseshoe Priors for Subspace Shrinkage.

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]

Similar Datasets

| S-EPMC10947394 | biostudies-literature
| S-EPMC6853616 | biostudies-literature
| S-EPMC5388190 | biostudies-literature
| S-EPMC6467998 | biostudies-literature
| S-EPMC5942601 | biostudies-literature
| S-EPMC3199931 | biostudies-literature
| S-EPMC9929412 | biostudies-literature
| S-EPMC7379868 | biostudies-literature
| S-EPMC4058914 | biostudies-literature
| S-EPMC5441581 | biostudies-literature