Publications [#257864] of David B. Dunson
search arxiv.org.Papers Published
- Armagan, A; Dunson, DB; Lee, J. "GENERALIZED DOUBLE PARETO SHRINKAGE.." Statistica Sinica 23.1 (January, 2013): 119-143. [doi]
(last updated on 2026/01/15)Abstract:
We propose a generalized double Pareto prior for Bayesian shrinkage estimation and inferences in linear models. The prior can be obtained via a scale mixture of Laplace or normal distributions, forming a bridge between the Laplace and Normal-Jeffreys' priors. While it has a spike at zero like the Laplace density, it also has a Student's t-like tail behavior. Bayesian computation is straightforward via a simple Gibbs sampling algorithm. We investigate the properties of the maximum a posteriori estimator, as sparse estimation plays an important role in many problems, reveal connections with some well-established regularization procedures, and show some asymptotic results. The performance of the prior is tested through simulations and an application.