Heavy-Tailed Process Priors for Selective Shrinkage

Heavy-tailed distributions are often used to enhance the robustness of regression and classification methods to outliers in output space. Often, however, we are confronted with "outliers" in input space, which are isolated observations in sparsely populated regions. We show that heavy-tailed stochastic processes (which we construct from Gaussian processes via a copula), can be used to improve robustness of regression and classification estimators to such outliers by selectively shrinking them more strongly in sparse regions than in dense regions. We carry out a theoretical analysis to show that selective shrinkage occurs when the marginals of the heavy-tailed process have sufficiently heavy tails. The analysis is complemented by experiments on biological data which indicate significant improvements of estimates in sparse regions while producing competitive results in dense regions.