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Local shrinkage rules, Levy processes, and regularized regression
- Publication Year :
- 2010
-
Abstract
- We use Levy processes to generate joint prior distributions, and therefore penalty functions, for a location parameter as p grows large. This generalizes the class of local-global shrinkage rules based on scale mixtures of normals, illuminates new connections among disparate methods, and leads to new results for computing posterior means and modes under a wide class of priors. We extend this framework to large-scale regularized regression problems where p>n, and provide comparisons with other methodologies.
- Subjects :
- Statistics - Methodology
Mathematics - Statistics Theory
Subjects
Details
- Database :
- arXiv
- Publication Type :
- Report
- Accession number :
- edsarx.1010.3390
- Document Type :
- Working Paper