- Bayesian Anal.
- Volume 12, Number 1 (2017), 135-159.
Hierarchical Shrinkage Priors for Regression Models
In some linear models, such as those with interactions, it is natural to include the relationship between the regression coefficients in the analysis. In this paper, we consider how robust hierarchical continuous prior distributions can be used to express dependence between the size but not the sign of the regression coefficients. For example, to include ideas of heredity in the analysis of linear models with interactions. We develop a simple method for controlling the shrinkage of regression effects to zero at different levels of the hierarchy by considering the behaviour of the continuous prior at zero. Applications to linear models with interactions and generalized additive models are used as illustrations.
Bayesian Anal., Volume 12, Number 1 (2017), 135-159.
First available in Project Euclid: 19 January 2016
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Griffin, Jim; Brown, Phil. Hierarchical Shrinkage Priors for Regression Models. Bayesian Anal. 12 (2017), no. 1, 135--159. doi:10.1214/15-BA990. https://projecteuclid.org/euclid.ba/1453211963
- Supplementary Material of “Hierarchical Shrinkage Priors for Regression Models”.