Bayesian Regression Using a Prior on the Model Fit: The R2-D2 Shrinkage Prior

1 code implementation • 31 Aug 2016 • Yan Dora Zhang, Brian P. Naughton, Howard D. Bondell, Brian J. Reich

The proposed method compares favourably to previous approaches in terms of both concentration around the origin and tail behavior, which leads to improved performance both in posterior contraction and in empirical performance.

Methodology