Bayesian Variable Selection and Estimation Based on Global-Local Shrinkage Priors

@article{Tang2016BayesianVS,
  title={Bayesian Variable Selection and Estimation Based on Global-Local Shrinkage Priors},
  author={Xueying Tang and Xiaofang Xu and Malay Ghosh and Prasenjit Ghosh},
  journal={arXiv: Methodology},
  year={2016}
}
In this paper, we consider Bayesian variable selection problem of linear regression model with global-local shrinkage priors on the regression coefficients. We propose a variable selection procedure that select a variable if the ratio of the posterior mean to the ordinary least square estimate of the corresponding coefficient is greater than $1/2$. Under the assumption of orthogonal designs, we show that if the local parameters have polynomial-tailed priors, our proposed method enjoys the… Expand

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