On the Hyperprior Choice for the Global Shrinkage Parameter in the Horseshoe Prior

@inproceedings{Piironen2017OnTH,
  title={On the Hyperprior Choice for the Global Shrinkage Parameter in the Horseshoe Prior},
  author={Juho Piironen and Aki Vehtari},
  booktitle={AISTATS},
  year={2017}
}
The horseshoe prior has proven to be a noteworthy alternative for sparse Bayesian estimation, but as shown in this paper, the results can be sensitive to the prior choice for the global shrinkage hyperparameter. We argue that the previous default choices are dubious due to their tendency to favor solutions with more unshrunk coefficients than we typically… CONTINUE READING