note: weak, sparse, high-dimensional signal

1. Reminder of key notions. High dimensional parameter space means : $p>>n$. Sparsity: the parameter vector has many zero elements. It means the parameter resides in a subspace. When the subspace dimension is smaller than $n$, the parameter is estimable.
2. In a sparse high-dimensional (SHD) problem, one does not know the location of the zeros; otherwise the parameter can be directly cast to the lower dimensional subspace.
3. Penalized log-likelihood can be interpreted as a posterior log density. The ridge log-likelihood is interpreted as the result of using a normal prior; lasso a Laplace prior. The key insight of this method is to use a zero-inflated prior to shrink noise and a fat-tailed prior to preserve signal.
4. Scale mixture of normals. $X=Y\sigma$ where $Y$ is a standard normal and $\sigma$ is a continuous random variable on $(0,\infty )$. [West 1987 Biometrika paper]. A lot of well-known distributions are in this family: t, logistic, Laplace, and obviously, the instantaneous distribution generated by the stochastic vol Brownian motion in finance.