“…Due to these advantages, Bayesian penalization is becoming increasingly popular in the literature (see e.g., Alhamzawi et al, 2012;Andersen et al, 2017;Armagan et al, 2013;Bae and Mallick, 2004;Bhadra et al, 2016;Bhattacharya et al, 2012;Bornn et al, 2010;Caron and Doucet, 2008;Carvalho et al, 2010;Feng et al, 2017;Griffin and Brown, 2017;Hans, 2009;Ishwaran and Rao, 2005;Lu et al, 2016;Peltola et al, 2014;Polson and Scott, 2011;Roy and Chakraborty, 2016;Zhao et al, 2016). An active area of research investigates theoretical properties of priors for Bayesian penalization, such as the Bayesian lasso prior (for a recent overview, see Bhadra et al, 2017).…”