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Functional Horseshoe Priors for Subspace Shrinkage

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  • Minsuk Shin
  • Anirban Bhattacharya
  • Valen E. Johnson

Abstract

We introduce a new shrinkage prior on function spaces, called the functional horseshoe (fHS) prior, that encourages shrinkage toward parametric classes of functions. Unlike other shrinkage priors for parametric models, the fHS shrinkage acts on the shape of the function rather than inducing sparsity on model parameters. We study the efficacy of the proposed approach by showing an adaptive posterior concentration property on the function. We also demonstrate consistency of the model selection procedure that thresholds the shrinkage parameter of the fHS prior. We apply the fHS prior to nonparametric additive models and compare its performance with procedures based on the standard horseshoe prior and several penalized likelihood approaches. We find that the new procedure achieves smaller estimation error and more accurate model selection than other procedures in several simulated and real examples. Supplementary materials for this article, which contain additional simulated and real data examples, MCMC diagnostics, and proofs of the theoretical results, are available online.

Suggested Citation

  • Minsuk Shin & Anirban Bhattacharya & Valen E. Johnson, 2020. "Functional Horseshoe Priors for Subspace Shrinkage," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 115(532), pages 1784-1797, December.
  • Handle: RePEc:taf:jnlasa:v:115:y:2020:i:532:p:1784-1797
    DOI: 10.1080/01621459.2019.1654875
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    Cited by:

    1. Jan PrĂ¼ser & Florian Huber, 2024. "Nonlinearities in macroeconomic tail risk through the lens of big data quantile regressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(2), pages 269-291, March.
    2. Florian Huber & Gary Koop, 2023. "Subspace shrinkage in conjugate Bayesian vector autoregressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(4), pages 556-576, June.
    3. Todd E. Clark & Florian Huber & Gary Koop & Massimiliano Marcellino & Michael Pfarrhofer, 2023. "Tail Forecasting With Multivariate Bayesian Additive Regression Trees," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 64(3), pages 979-1022, August.
    4. Todd E. Clark & Florian Huber & Gary Koop & Massimiliano Marcellino, 2022. "Forecasting US Inflation Using Bayesian Nonparametric Models," Working Papers 22-05, Federal Reserve Bank of Cleveland.

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