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Oracle property 1 Posterior mean 1 Rescaling 1 Shrinkage 1 Two-component prior 1
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Ishwaran, Hemant 1 Sunil Rao, J. 1
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Statistics & Probability Letters 1
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Consistency of spike and slab regression
Ishwaran, Hemant; Sunil Rao, J. - In: Statistics & Probability Letters 81 (2011) 12, pp. 1920-1928
extend this result to the general case and prove an oracle property for the posterior mean under a discrete two-component … prior. An immediate consequence is that a strong selective shrinkage property holds. Interestingly, the conditions needed …
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