The Beta-Mixture Shrinkage Prior for Sparse Covariances with Posterior Minimax Rates

DOI10.1016/J.JMVA.2022.105067zbMath1520.62054arXiv2101.04351MaRDI QIDQ6358084

Kyoungjae Lee, Seongil Jo, Jaeyong Lee

Publication date: 12 January 2021

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Asymptotic distribution theory in statistics (62E20) Bayesian inference (62F15)

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