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Department of Statistics Colloquium Series

Speaker:   Zikun Yang, Ph.D. Student, Department of Statistics, Indiana University

Where:  Maple Room, Indiana Memorial Union

When:  Monday March 18, 2019, 3:00 PM

Title:  Bayesian Locally Adaptive Models

Abstract:  Locally adaptive shrinkage in the Bayesian framework is achieved through the use of local-global prior distributions that model both the global level of sparsity as well as individual shrinkage parameters for mean structure parameters. The most popular of these models is the Horseshoe prior and its variants due to their spike and slab behavior involving an asymptote at the origin and heavy tails. In this talk, we present an alternative Horseshoe prior that exhibits both a sharper asymptote at the origin as well as heavier tails, which we call the Heavy-tailed Horseshoe prior. We prove that mixing on the shape parameters provides improved spike and slab behavior as well as better reconstruction properties than other Horseshoe variants. A simulation study is provided to show the advantage of the heavy-tailed Horseshoe in terms of absolute error to both the truth mean structure as well as the oracle.

Monday March 18, 2019 03:00 PM
Monday March 18, 2019 04:00 PM
Indiana Memorial Union (Union Building)
Kelly Hanna
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