Horseshoe+ prior

Sparse signal shrinkage and outlier detection in high-dimensional quantile regression with variational Bayes
Robustified Bayesian quantile regression models with sparse signal shrinkage prior to address model misspecification. Estimation is carried out with variational Bayes.
Daeyoung Lim, Beomjo Park, David Nott, Xueou Wang, Taeryon Choi
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