Bayesian shrinkage towards sharp minimaxity

DOI10.1214/20-EJS1732zbMath1446.62056arXiv2004.05307MaRDI QIDQ2192317

Qifan Song

Publication date: 17 August 2020

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2004.05307

zbMATH Keywords

shrinkage prioradaptive priorBayesian sharp minimaxheavy-tailed prior

Mathematics Subject Classification ID

Minimax procedures in statistical decision theory (62C20) Statistics of extreme values; tail inference (62G32) Large deviations (60F10)

Related Items (4)

Contraction of a quasi-Bayesian model with shrinkage priors in precision matrix estimation ⋮ Horseshoe shrinkage methods for Bayesian fusion estimation ⋮ Optimal false discovery control of minimax estimators ⋮ Nearly optimal Bayesian shrinkage for high-dimensional regression

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