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Structuring Shrinkage: Some Correlated Priors for Regression

Griffin, Jim E., Brown, Philip J. (2012) Structuring Shrinkage: Some Correlated Priors for Regression. Biometrika, 99 (2). pp. 481-487. ISSN 1464-3510. (doi:10.1093/biomet/asr082) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:29600)

The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided.
Official URL:
http://dx.doi.org/10.1093/biomet/asr082

Abstract

This paper develops a rich class of sparsity priors for regression effects that encourage shrinkage of both regression effects and contrasts between effects to zerowhilst leaving sizeable real effects largely unshrunk. The construction of these priors uses some properties of normal-gamma distributions to include design features in the prior specification, but has general relevance to any continuous sparsity prior. Specific prior distributions are developed for serial dependence between regression effects and correlation within groups of regression effects.

Item Type: Article
DOI/Identification number: 10.1093/biomet/asr082
Uncontrolled keywords: Fused prior, Grouped prior, Lasso, Multiple regression, Normal-gamma prior, Sparsity
Subjects: Q Science > QA Mathematics (inc Computing science) > QA276 Mathematical statistics
Divisions: Divisions > Division of Computing, Engineering and Mathematical Sciences > School of Mathematics, Statistics and Actuarial Science
Depositing User: Jim Griffin
Date Deposited: 30 May 2012 12:45 UTC
Last Modified: 16 Nov 2021 10:07 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/29600 (The current URI for this page, for reference purposes)

University of Kent Author Information

Griffin, Jim E..

Creator's ORCID: https://orcid.org/0000-0002-4828-7368
CReDIT Contributor Roles:

Brown, Philip J..

Creator's ORCID:
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