New Gibbs samplers for robust median regression with horseshoe, horseshoe+, and regularized horseshoe priors; simulations show the first two yield near-95% credible intervals in high dimensions even without exact sparsity.
A review of bayesian variable selection methods: what, how and which,
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Robust Bayesian high-dimensional variable selection and inference with the horseshoe family of priors
New Gibbs samplers for robust median regression with horseshoe, horseshoe+, and regularized horseshoe priors; simulations show the first two yield near-95% credible intervals in high dimensions even without exact sparsity.