Bayesian factorization via $L_{1/2}$ shrinkage
基于 L₁/₂ 收缩的贝叶斯因子分解
Factor models are widely used for dimension reduction. Bayesian approaches to these models often place a prior on the factor loadings that allows for infinitely many factors, with loadings increasingly shrunk toward zero as the column index increases. However, existing increasing shrinkage priors often possess complex hierarchical structures that complicate posterior inference. To address this issue, we propose using an $L_{1/2}$ shrinkage prior. We demonstrate that by…