Dynamic shrinkage processes

We propose a novel class of dynamic shrinkage processes for Bayesian time series and regression analysis. Building on a global–local framework of prior construction, in which continuous scale mixtures of Gaussian distributions are employed for both desirable shrinkage properties and computational tr...

Ausführliche Beschreibung

Bibliographische Detailangaben

Veröffentlicht in:	Journal of the Royal Statistical Society. Series B (Statistical Methodology). - Blackwell Publishers. - 81(2019), 4, Seite 781-804
1. Verfasser:	Kowal, Daniel R. (VerfasserIn)
Weitere Verfasser:	Matteson, David S., Ruppert, David
Format:	Online-Aufsatz
Sprache:	English
Veröffentlicht:	2019
Zugriff auf das übergeordnete Werk:	Journal of the Royal Statistical Society. Series B (Statistical Methodology)