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.…