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stat.ME2025
R2 priors for Grouped Variance Decomposition in High-dimensional Regression
Javier Enrique Aguilar, David Kohns, Aki Vehtari +1
We introduce the Group-R2 decomposition prior, a hierarchical shrinkage prior that extends R2-based priors to structured regression settings with known groups of predictors. By dec…
stat.ME2025
Joint Quantile Shrinkage: A State-Space Approach toward Non-Crossing Bayesian Quantile Models
David Kohns, Tibor Szendrei
Crossing of fitted conditional quantiles is a prevalent problem for quantile regression models. We propose a new Bayesian modelling framework that penalises multiple quantile regre…