Regularised horse shoe
Global-local shrinkage prior. (Piironen and Vehtari 2017)
References
Piironen, Juho, and Aki Vehtari. 2017. “Sparsity Information and Regularization in the Horseshoe and Other Shrinkage Priors.” Electronic Journal of Statistics 11 (2). https://doi.org/10.1214/17-EJS1337SI.