Bayesian Global-Local Regularization
By: Jyotishka Datta, Nick Polson, Vadim Sokolov
Potential Business Impact:
Helps computers find patterns in messy data.
We propose a unified framework for global-local regularization that bridges the gap between classical techniques -- such as ridge regression and the nonnegative garotte -- and modern Bayesian hierarchical modeling. By estimating local regularization strengths via marginal likelihood under order constraints, our approach generalizes Stein's positive-part estimator and provides a principled mechanism for adaptive shrinkage in high-dimensional settings. We establish that this isotonic empirical Bayes estimator achieves near-minimax risk (up to logarithmic factors) over sparse ordered model classes, constituting a significant advance in high-dimensional statistical inference. Applications to orthogonal polynomial regression demonstrate the methodology's flexibility, while our theoretical results clarify the connections between empirical Bayes, shape-constrained estimation, and degrees-of-freedom adjustments.
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