Structuring Shrinkage: Some Correlated Priors for Regression

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.