Mean field variational Bayes for continuous sparse signal shrinkage: pitfalls and remedies

DOI10.1214/14-EJS910zbMath1298.62050OpenAlexW1983428013MaRDI QIDQ405332

John T. Ormerod, Sarah E. Neville, Matthew P. Wand

Publication date: 5 September 2014

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

Full work available at URL: https://projecteuclid.org/euclid.ejs/1407415580

zbMATH Keywords

continued fractionapproximate Bayesian inferencespecial functiongeneralized double Pareto distributionHorseshoe distributionLentz's algorithmnormal-exponential-gamma distribution

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Bayesian inference (62F15)

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Uses Software

• R
• WinBUGS
• KernSmooth
• GSL
• BRugs
• EBayesThresh
• gsl
• fAsianOptions
• PRMLT

Cites Work

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