• Mathematics
  • Published 2015

Asymptotic Minimaxity, Optimal Posterior Concentration and Asymptotic Bayes Optimality of Horseshoe-type Priors Under Sparsity

@inproceedings{Ghosh2015AsymptoticMO,
  title={Asymptotic Minimaxity, Optimal Posterior Concentration and Asymptotic Bayes Optimality of Horseshoe-type Priors Under Sparsity},
  author={Prasenjit Ghosh and Arijit Chakrabarti},
  year={2015}
}
In this article, we investigate certain asymptotic optimality properties of a very broad class of one-group continuous shrinkage priors for simultaneous estimation and testing of a sparse normal mean vector. Asymptotic optimality of Bayes estimates and posterior concentration properties corresponding to the general class of one-group priors under consideration are studied where the data is assumed to be generated according to a multivariate normal distribution with a fixed unknown mean vector… CONTINUE READING

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