Shrinkage and Hierarchical Bayes

We discuss properties of the shrinkage estimators that provide both shrinkage and selection from frequentist and Bayesian paradigms.

Readings:

• Seber & Lee Chapter 12

• Tibshirani (1996) “Regression Shrinkage and Selection via the Lasso”

• Park & Casella (2008) “The Bayesian Lasso”

• Hans (2010) “Model uncertainty and variable selection in Bayesian lasso regression”

• Carvalho, Polson & Scott (2009) “Handling Sparsity via the Horseshoe”

• Armagan, Dunson & Lee (2013) “Generalized Double Pareto Shrinkage”

• Robert, C. (2007) “The Bayesian Choice” Chapter 5