Bayesian inference in high-dimensional linear models using an empirical correlation-adaptive prior
Bayesian inference in high-dimensional linear models using an empirical correlation-adaptive prior
In the context of a high-dimensional linear regression model, we propose the use of an empirical correlation-adaptive prior that makes use of information in the observed predictor variable matrix to adaptively address high collinearity, determining if parameters associated with correlated predictors should be shrunk together or kept apart. Under suitable …