Bayesian methods outperform classical ones on prediction error in correlated weak-signal settings, with Horseshoe providing near-nominal coverage and Lasso tying Spike-and-Slab on variable selection F1 score.
Regression shrinkage and selection via the lasso.Journal of the Royal Statistical Society: Series B (Methodological), 58(1):267–288
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Sparse Regression under Correlation and Weak Signals: A Reproducible Benchmark of Classical and Bayesian Methods
Bayesian methods outperform classical ones on prediction error in correlated weak-signal settings, with Horseshoe providing near-nominal coverage and Lasso tying Spike-and-Slab on variable selection F1 score.