Resumen de A horseshoe based prior for shrinkage towards a predefined parametric subspace.
We introduce a new prior hierarchy that allows shrinking of smooth spline-based functional e ects towards a prede ned vector space of parametric functions. Instead of shrinking each spline coecient towards zero, we adapt the horseshoe prior to control the deviation from the prede ned vector space.
Furthermore, the prior presented regularizes the wiggliness of the estimated e ect.
In this paper, we start with an application to energy consumption in Germany, then introduce the technical details and describe the prior's desirable shrinkage properties. We conclude with a simulation study to assess the validity of our approach.
