Alternative Global – Local Shrinkage Priors Using Hypergeometric – Beta Mixtures

@inproceedings{Polson2009AlternativeG,
title={Alternative Global – Local Shrinkage Priors Using Hypergeometric – Beta Mixtures},
author={Nicholas G. Polson and James G. Scott},
year={2009}
}

This paper introduces an approach to estimation in possibly sparse data sets using shrinkage priors based upon the class of hypergeometric-beta distributions. These widely applicable priors turn out to be a four-parameter generalization of the beta family, and are pseudo-conjugate: they cannot themselves be expressed in closed form, but they do yield tractable moments and marginal likelihoods when used as priors for the mean of a normal distribution. These priors are useful in situations where… CONTINUE READING