Local shrinkage rules, Lévy processes, and regularized regression     Local shrinkage rules  Lévy processes  regularized regression       font style='font-size:12px;'> 2010/10/19

We use L\'evy processes to generate joint prior distributions for a location parameter $\bbeta = (\beta_1,...,\beta_p) $ as $p$ grows large. This leads to the class of local-global shrinkage rules. We...

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