Contributed Discussion to Uncertainty Quantification for the Horseshoe by St\'ephanie van der Pas, Botond Szab\'o and Aad van der Vaart

Abstract

We begin by introducing the main ideas of the paper under discussion. We discuss some interesting issues regarding adaptive component-wise credible intervals. We then briefly touch upon the concepts of self-similarity and excessive bias restriction. This is then followed by some comments on the extensive simulation study carried out in the paper.