Bayesian multivariate quantile regression using dependent Dirichlet process prior (Q2048107)

The authors consider a nonparametric Bayesian approach to multivariate quantile regression. The proposed approach involves modeling of related conditional distributions of a response vector given the covariates using a Dependent Dirichlet Process (DDP) prior. The DDP is used to introduce dependence across covariates. For posterior computations, a truncated stick-breaking representation of the DDP is used, and a block Gibbs sampler is applied for estimating the model parameters. Simulation studies and a real data application show that the method produces reasonable estimates.