Local shrinkage rules, Levy processes, and regularized regression

Abstract: We use Levy processes to generate joint prior distributions, and therefore penalty functions, for a location parameter as p grows large. This generalizes the class of local-global shrinkage rules based on scale mixtures of normals, illuminates new connections among disparate methods, and leads to new results for computing posterior means and modes under a wide class of priors. We extend this framework to large-scale regularized regression problems where p>n, and provide comparisons with other methodologies.