Bayesian joint quantile autoregression
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Bayesian inference (62F15) Nonparametric regression and quantile regression (62G08) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from spatial processes (62M30)
Abstract: Quantile regression continues to increase in usage, providing a useful alternative to customary mean regression. Primary implementation takes the form of so-called multiple quantile regression, creating a separate regression for each quantile of interest. However, recently, advances have been made in joint quantile regression, supplying a quantile function which avoids crossing of the regression across quantiles. Here, we turn to quantile autoregression (QAR), offering a fully Bayesian version. We extend the initial quantile regression work of Koenker and Xiao (2006) in the spirit of Tokdar and Kadane (2012). We offer a directly interpretable parametric model specification for QAR. Further, we offer a p-th order QAR(p) version, a multivariate QAR(1) version, and a spatial QAR(1) version. We illustrate with simulation as well as a temperature dataset collected in Arag'on, Spain.
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(14)- Authors' reply to the discussion of: ``Inference for extreme spatial temperature events in a changing climate with application to Ireland
- Alexa A. Sochaniwsky and Paul D. Mcnicholas's contribution to the discussion of: ``Inference for extreme spatial temperature events in a changing climate with application to Ireland
- Stefano Rizzelli's contribution to the discussion of: ``Inference for extreme spatial temperature events in a changing climate with application to Ireland
- Emilio Porcu, Horst Simon, and Youssef Wehbe's contribution to the discussion of: ``Inference for extreme spatial temperature events in a changing climate with application to Ireland
- Jonathan Koh's contribution to the discussion of: ``Inference for extreme spatial temperature events in a changing climate with application to Ireland
- Anthony C. Davison and Raphaël de Fondeville's contribution to the discussion of: ``Inference for extreme spatial temperature events in a changing climate with application to Ireland
- Miriam Cuba, Daniela Castro-Camilo, and Marian Scott's contribution to the discussion of: ``Inference for extreme spatial temperature events in a changing climate with application to Ireland
- Peter F. Craigmile, Peter Guttorp, and Thordis l. Thorarinsdottir's contribution to the discussion of: ``Inference for extreme spatial temperature events in a changing climate with application to Ireland
- Jorge Castillo-Mateo, Alan E. Gelfand, Ana C. Cebrián, and Jesús Asín's contribution to the discussion of: ``Inference for extreme spatial temperature events in a changing climate with application to Ireland
- Jordan Richards, Myung Won Lee, Viviana Carcaiso, and Miguel de Carvalho's contribution to the discussion of: ``Inference for extreme spatial temperature events in a changing climate with application to Ireland
- Richard Smith's contribution to the discussion of: ``Inference for extreme spatial temperature events in a changing climate with application to Ireland
- Seconder of the vote of thanks to Healy et al. and contribution to the discussion of: ``Inference for extreme spatial temperature events in a changing climate with application to Ireland
- Proposer of the vote of thanks to Healy et al. and contribution to the discussion of: ``Inference for extreme spatial temperature events in a changing climate with application to Ireland
- Inference for extreme spatial temperature events in a changing climate with application to Ireland
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