Related papers: Bayesian cumulative shrinkage for infinite factori…

Factor models are widely used for dimension reduction. Bayesian approaches to these models often place a prior on the factor loadings that allows for infinitely many factors, with loadings increasingly shrunk toward zero as the column index…

Defining the number of latent factors has been one of the most challenging problems in factor analysis. Infinite factor models offer a solution to this problem by applying increasing shrinkage on the columns of factor loading matrices, thus…

This article introduces two absolutely continuous global-local shrinkage priors to enable stochastic variable selection in the context of high-dimensional matrix exponential spatial specifications. Existing approaches as a means to dealing…

Bayesian sparse factor models have proven useful for characterizing dependence in multivariate data, but scaling computation to large numbers of samples and dimensions is problematic. We propose expandable factor analysis for scalable…

There has been increased research interest in the subfield of sparse Bayesian factor analysis with shrinkage priors, which achieve additional sparsity beyond the natural parsimonity of factor models. In this spirit, we estimate the number…

This study proposes a novel hierarchical prior for inferring possibly low-rank matrices measured with noise. We consider three-component matrix factorization, as in singular value decomposition, and its fully Bayesian inference. The…

The cumulative shrinkage process is an increasing shrinkage prior that can be employed within models in which additional terms are supposed to play a progressively negligible role. A natural application is to Gaussian factor models, where…

We propose a novel class of dynamic shrinkage processes for Bayesian time series and regression analysis. Building upon a global-local framework of prior construction, in which continuous scale mixtures of Gaussian distributions are…

Modern approaches to perform Bayesian variable selection rely mostly on the use of shrinkage priors. That said, an ideal shrinkage prior should be adaptive to different signal levels, ensuring that small effects are ruled out, while keeping…

The paper discusses shrinkage priors which impose increasing shrinkage in a sequence of parameters. We review the cumulative shrinkage process (CUSP) prior of Legramanti et al. (2020), which is a spike-and-slab shrinkage prior where the…

In Bayesian regression models with categorical predictors, constraints are needed to ensure identifiability when using all $K$ levels of a factor. The sum-to-zero constraint is particularly useful as it allows coefficients to represent…

In all areas of human knowledge, datasets are increasing in both size and complexity, creating the need for richer statistical models. This trend is also true for economic data, where high-dimensional and nonlinear/nonparametric inference…

We propose a novel spike and slab prior specification with scaled beta prime marginals for the importance parameters of regression coefficients to allow for general effect selection within the class of structured additive distributional…

Shrinkage prior has gained great successes in many data analysis, however, its applications mostly focus on the Bayesian modeling of sparse parameters. In this work, we will apply Bayesian shrinkage to model high dimensional parameter that…

Most of previous works and applications of Bayesian factor model have assumed the normal likelihood regardless of its validity. We propose a Bayesian factor model for heavy-tailed high-dimensional data based on multivariate Student-$t$…

Parameter shrinkage applied optimally can always reduce error and projection variances from those of maximum likelihood estimation. Many variables that actuaries use are on numerical scales, like age or year, which require parameters at…

When performing Bayesian data analysis using a general linear mixed model, the resulting posterior density is almost always analytically intractable. However, if proper conditionally conjugate priors are used, there is a simple two-block…

The new class of Markov processes is proposed to realize the flexible shrinkage effects for the dynamic models. The transition density of the new process consists of two penalty functions, similarly to Bayesian fused LASSO in its functional…

Factor Analysis has traditionally been utilized across diverse disciplines to extrapolate latent traits that influence the behavior of multivariate observed variables. Historically, the focus has been on analyzing data from a single study,…

Over the past two decades, shrinkage priors have become increasingly popular, and many proposals can be found in the literature. These priors aim to shrink small effects to zero while maintaining true large effects. Horseshoe-type priors…