Hahn, P. Richard; Carvalho, Carlos M.; Mukherjee, Sayan - In: Journal of the American Statistical Association 108 (2013) 503, pp. 999-1008
We develop a modified Gaussian factor model for the purpose of inducing predictor-dependent shrinkage for linear regression. The new model predicts well across a wide range of covariance structures, on real and simulated data. Furthermore, the new model facilitates variable selection in the case...