Variance or Standard Deviation? Shell Geometry and Global-Scale Priors in High-Dimensional Shrinkage
方差还是标准差?高维收缩中的壳层几何与全局尺度先验
We study how the choice of default prior for a common Gaussian scale affects high-dimensional shrinkage risk, highlighting the role played by high-dimensional geometry. Formally, we consider a high-dimensional setting in which the near-zero behavior of the common scale prior has first-order consequences for shrinkage risk, and show that priors that are flat on the variance and those flat on the standard deviation allocate markedly different mass near the zero-scale boundary,…