Bayesian inference for quantile autoregressive model with explanatory variables

DOI10.1080/03610926.2021.1964529MaRDI QIDQ6106243zbMATH OpenOpenAlexFDO

Authors Kai Yang, Bo Peng, Xiaogang Dong

Publication date 27 June 2023

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2021.1964529

zbMATH Keywords

Bayesian quantile regressionexplanatory variablesGibbs samplinglatent variablequantile autoregressive model

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• A new Bayesian approach to quantile autoregressive time series model estimation and forecasting
• A threshold stochastic volatility model with explanatory variables
• Bayesian analysis of a Tobit quantile regression model
• Bayesian estimation for first-order autoregressive model with explanatory variables
• Bayesian Measures of Model Complexity and Fit
• Bayesian quantile inference
• Bayesian quantile regression
• Bayesian quantile regression for censored data
• Bayesian quantile regression for longitudinal data models
• Bayesian quantile regression for longitudinal studies with nonignorable missing data
• Bayesian quantile regression for single-index models
• Distributed inference for quantile regression processes
• Empirical likelihood for an autoregressive model with explanatory variables
• Flexible imputation of missing data
• Gibbs sampling methods for Bayesian quantile regression
• Handbook of quantile regression
• scientific article; zbMATH DE number 3163319 (Why is no real title available?)
• Hybrid Quantile Regression Estimation for Time Series Models with Conditional Heteroscedasticity
• Introduction to Bayesian Statistics
• Markov switching quantile autoregression
• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
• Nonparametric depth and quantile regression for functional data
• Posterior consistency of Bayesian quantile regression based on the misspecified asymmetric Laplace density
• Posterior Inference in Bayesian Quantile Regression with Asymmetric Laplace Likelihood
• Quantile Autoregression
• Quantile correlations and quantile autoregressive modeling
• Quantile regression estimator for GARCH models
• Quantile regression for dynamic panel data with fixed effects
• Quantile regression.
• Quantile self-exciting threshold autoregressive time series models
• Regression coefficient and autoregressive order shrinkage and selection via the lasso
• Regression Quantiles
• Threshold quantile autoregressive models
• Unit Root Quantile Autoregression Inference

Cited in

(7)

• scientific article; zbMATH DE number 6719460 (Why is no real title available?)
• scientific article; zbMATH DE number 5847196 (Why is no real title available?)
• scientific article; zbMATH DE number 6746251 (Why is no real title available?)
• Bayesian inference for a mixture double autoregressive model
• Bayesian analysis for varying coefficient autoregressive models
• Bayesian inference approaches for tensor quantile regression and its application
• Variable selection for single-index-driven autoregressive model with linear explanatory variables

This page was built for publication: Bayesian inference for quantile autoregressive model with explanatory variables

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6106243)