sizable amount of mass around zero and has heavier-than-exponential tails, variation in the shape of the prior does not seem to have a large impact on prediction accuracy. Therefore, we believe that the primary gain of PRS-CS over existing methods lies in its more accurate multivariate modeling of local LD patterns and its block-updated Gibbs sampling that can improve the mixing and convergence rate of the Markov chain. We thus recommend using the Strawderman-Berger prior as a default choice. A systematic investigation and comparison of different continuous shrinkage priors is a direction of future work.
