The Spike-and-Slab LASSO

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Mixtures of g-Priors in Generalized Linear Models (2015, background): “Independent priors on regression coefficients (Ishwaran and Rao 2005; Ghosh and Clyde 2011; Johnson and Rossell 2012; Ročková and George 2015) often have better performance for estimation when predictors are highly correlated.”
Bayesian Regression Using a Prior on the Model Fit: The R2-D2 Shrinkage Prior (2016, result): “…R2-D2 prior yields strong posterior consistency in the case that pn ≺ n, and further that it attains the optimal near-minimax contraction rate in general, including with pn n, as given by Castillo, Schmidt-Hieber, and van der Vaart (2015), Song and Liang (2017), and Ročková and George (2018).”