\[ \newcommand{\argmin}{\operatorname{argmin}} \newcommand{\sign}{\operatorname{sign}} \newcommand{\diag}[1]{\operatorname{diag}(#1)} \newcommand{\prox}[2]{\operatorname{prox}_{#1}(#2)} \]
“Default Bayesian Analysis with Horseshoe Estimators” is an upcoming paper that addresses the issue of default Bayes analysis for multivariate normals. It is based on the Horseshoe+ prior in “The Horseshoe+ Estimator of Ultra-Sparse Signals”.
These examples are currently in development and ultimately for demonstration purposes only. Most examples make use of Stan for estimation.