Inference on partially identified models plays an important role in econometrics. This paper proposes novel Bayesian procedures for these models when the identified set is closed and convex and so is completely characterized by its support function. We shed new light on the connection between...

Common high-dimensional methods for prediction rely on having either a sparse signal model, a model in which most parameters are zero and there are a small number of non-zero parameters that are large in magnitude, or a dense signal model, a model with no large parameters and very many small...