What if you like the flavours of both Bayesian inference and the implicit model selection of sparse inference? Can you pull one of those Bayesian-Frequentist fusions?
TBD. Keywords: Laplace prior, Spike-and-slab prior, Horseshoe prior?
Michael Betancourt introduces some issues with LASSO-type inference for Bayesians with a slant towards Horseshoe-type priors over spike and slab, possibly because hierarchical mixtures like spike-and-slab are not that great in Stan, although posible–Michael is heavily involved with Stan.
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