Bayesian fused lasso modeling via horseshoe prior
Bayesian fused lasso modeling via horseshoe prior
Abstract Bayesian fused lasso is one of the sparse Bayesian methods, which shrinks both regression coefficients and their successive differences simultaneously. In this paper, we propose a Bayesian fused lasso modeling via horseshoe prior. By assuming a horseshoe prior on the difference of successive regression coefficients, the proposed method enables …