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A Simple Sampler for the Horseshoe Estimator
Signal Processing Letters, IEEE, no. 1 (2016): 179-182
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Abstract
In this note we derive a simple Bayesian sampler for linear regression with the horseshoe hierarchy. A new interpretation of the horseshoe model is presented, and extensions to logistic regression and alternative hierarchies, such as horseshoe+, are discussed. Due to the conjugacy of the proposed hierarchy, Chib’s algorithm may be used to...More
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