“…Previous work has circumvented this using either a point mass variational distribution for regression coefficients (Tung et al, 2019), which does not directly allow for uncertainty quantification (without, say, bootstrapping Fu and Knight (2000)), or by thresholding small coefficients (Babacan et al, 2014), which requires setting an arbitrary threshold (She, 2009). Kawano et al (2015) vary the threshold while monitoring information criteria.…”