This paper has good guidance. I think that their recommendation of df=1 and scale=2.5 is very reasonable. Their suggestion of mean subtraction would be disastrous, but much of the rest is very good.
df=0.5 is a very (VERY) long tailed distribution. Even for df=1, there is no mean or variance. I would actually consider using df=2 as well. In practice, I have found that the L1 prior encourages sparsity more strongly than the T prior. It does, however, entangle the regularization factor with the scale of the prior. On Mon, Jun 6, 2011 at 1:06 AM, XiaoboGu <[email protected]> wrote: > Is 0.5 a good point to start? > >
