Contributed Discussion to Uncertainty Quantification for the Horseshoe by Stéphanie van der Pas, Botond Szabó and Aad van der Vaart
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We begin by introducing the main ideas of the paper under discussion. We discuss some interesting issues regarding adaptive component-wise credible intervals. We then briefly touch upon the concepts of self-similarity and excessive bias restriction. This is then followed by some comments on the extensive simulation study carried out in the paper.
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