51 citations · 90 across the 7 of their papers we have counts for
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stat.CO2018
Robust Importance Sampling with Adaptive Winsorization
Paulo Orenstein
Importance sampling is a widely used technique to estimate properties of a distribution. This paper investigates trading-off some bias for variance by adaptively winsorizing the im…
stat.CO2017★ 22 cited
Bayes Shrinkage at GWAS scale: Convergence and Approximation Theory of a Scalable MCMC Algorithm for the Horseshoe Prior
James E. Johndrow, Paulo Orenstein, Anirban Bhattacharya
The horseshoe prior is frequently employed in Bayesian analysis of high-dimensional models, and has been shown to achieve minimax optimal risk properties when the truth is sparse.…