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Activity Number: 4
Type: Invited
Date/Time: Sunday, July 31, 2016 : 2:00 PM to 3:50 PM
Sponsor: Section on Bayesian Statistical Science
Abstract #318278
Title: Global-Local Shrinkage Priors for Variable Selection and an Oracle Property
Author(s): Malay GHosh*
Companies: University of Florida
Keywords: global-local ; oracle ; polynomial-tailed ; exponential-tailed ; orthogonal design ; horseshoe

The paper introduces a general class of global-local shrinkage priors for variable selection. Included in this general class is the now famous ``horseshoe prior'' and many of its generalizations. These priors are classified into two classes: those with exponential tails and those with polynomial tails. For orthogonal designs, all these priors select asymptotically the correct non-zero regression variables. However, while estimators of the non-zero regressors based on polynomial tailed priors attain asymptotic normality at the correct rate, the same is not true for exponential tailed priors.

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