Uncertainty quantification for the horseshoe

13 Feb 2017 van der Pas Stéphanie Szabó Botond van der Vaart Aad

We investigate the credible sets and marginal credible intervals resulting from the horseshoe prior in the sparse multivariate normal means model. We do so in an adaptive setting without assuming knowledge of the sparsity level (number of signals)... (read more)

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  • STATISTICS THEORY
  • STATISTICS THEORY