Joint mean–covariance estimation via the horseshoe
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DOI: 10.1016/j.jmva.2020.104716
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References listed on IDEAS
- Carlos M. Carvalho & Nicholas G. Polson & James G. Scott, 2010. "The horseshoe estimator for sparse signals," Biometrika, Biometrika Trust, vol. 97(2), pages 465-480.
- Anindya Bhadra & Bani K. Mallick, 2013. "Joint High-Dimensional Bayesian Variable and Covariance Selection with an Application to eQTL Analysis," Biometrics, The International Biometric Society, vol. 69(2), pages 447-457, June.
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Cited by:
- Adam N. Smith & Jim E. Griffin, 2023. "Shrinkage priors for high-dimensional demand estimation," Quantitative Marketing and Economics (QME), Springer, vol. 21(1), pages 95-146, March.
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Keywords
Bayesian methods; eQTL analysis; Global–local priors; Seemingly unrelated regression; Shrinkage estimation;All these keywords.
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