Hierarchical shrinkage priors for dynamic regressions with many predictors

This paper builds on a simple unified representation of shrinkage Bayes estimators based on hierarchical Normal-Gamma priors. Various popular penalized least squares estimators for shrinkage and selection in regression models can be recovered using this single hierarchical Bayes formulation. Using 1...

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Bibliographic details
Main Author: Korobilis, Dimitris
Format: Paper
Language: English
Place of publication: 17.04.2011
Related: University Library of Munich, Germany
Data of publication: 2011/04/17
Series: MPRA Paper
Online Access: available in Bonn?
Database: RePEc IDEAS
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