Pathwise Shrinkage and Probabilistic Calibration of the Multiplicative Half-Cauchy Process

2026-10-16来源 arXiv stat.THEnglish

arXiv:2610.21136v1 Announce Type: cross Abstract: We characterize the multiplicative half-Cauchy process through its log-scale random-walk representation, establishing shrinkage, expansion, and critical regimes, almost-sure summability, local rebounds, and effective dimension. We also derive a semi-analytic calibration rule linking interpretable prior probability statements to its scale parameter.

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Pathwise Shrinkage and Probabilistic Calibration of the Multiplicative Half-Cauchy Process

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