Title: Contributed Discussion to Uncertainty Quantification for the Horseshoe by Stéphanie van der Pas, Botond Szabó and Aad van der Vaart,
Abstract: We begin by introducing the main ideas of the paper under discussion. We
discuss some interesting issues regarding adaptive component-wise credible
intervals. We then briefly touch upon the concepts of self-similarity and
excessive bias restriction. This is then followed by some comments on the
extensive simulation study carried out in the paper.