We consider the problem of estimation and structure learning in a high dimensional normal sequence model, where the underlying parameter vector is piecewise constant, or has a block structure. We develop a Bayesian fusion estimation method by using the Horseshoe prior to induce a strong shrinkage effect on successive differences in the mean parameters, simultaneously imposing sufficient prior concentration for non-zero values of the same. The proposed method thus facilitates consistent estimation and structure recovery of the signal pieces. We provide theoretical justifications of our approach by deriving posterior convergence rates and establishing selection consistency under suitable assumptions. We demonstrate the superior performance of the Horseshoe based Bayesian fusion estimation method through extensive simulations and two real-life examples.
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