Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Controlling the flexibility of non-Gaussian processes through shrinkage
  priors   The normal inverse Gaussian (NIG) and generalized asymmetric Laplace (GAL)
distributions can be seen as skewed and heavy-tailed extensions of the Gaussian
distribution. Models driven by these more flexible noise distributions are then
regarded as generalizations of simpler Gaussian models. Inferential procedures
tend to overestimate the degree of non-Gaussianity in the data and in this
paper we propose controlling the flexibility of these non-Gaussian models by
adding sensible priors in the inferential framework that contract the model
towards Gaussianity. The methods are derived for a generic class of
non-Gaussian models that include non-Gaussian spatial Mat\'ern fields,
autoregressive models for time series, and simultaneous autoregressive models
for aerial data. The results are illustrated with a simulation study, where
priors that penalize model complexity were shown to lead to more robust
estimation and give preference to the Gaussian model, while at the same time
allowing for non-Gaussianity if there is sufficient evidence of asymmetry and
leptokurtosis in the data. We also propose a new method for assessing if there
is enough support in the data for choosing the non-Gaussian model over the
simpler Gaussian model and show how to determine at which time points or
regions in space the Gaussian model lacks flexibility.

8
The categories of this paper are: hep-ex
26
The categories of this paper are: bayes-an
29
The categories of this paper are: funct-an
25
The categories of this paper are: patt-sol
36
The categories of this paper are: cmp-lg
30
The categories of this paper are: q-alg
9
The categories of this paper are: nlin
1
The categories of this paper are: cs
17
The categories of this paper are: q-fin
22
The categories of this paper are: chao-dyn
0
The categories of this paper are: hep-ph
6
The categories of this paper are: astro-ph
3
The categories of this paper are: physics
12
The categories of this paper are: nucl-th
28
The categories of this paper are: alg-geom
4
The categories of this paper are: cond-mat