Bayesian non-parametric simultaneous quantile regression for complete and grid data

DOI10.1016/J.CSDA.2018.04.007MaRDI QIDQ1663119zbMATH OpenOpenAlexFDO

Authors Priyam Das, Subhashis Ghosal

Publication date 21 August 2018

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1612.00111

zbMATH Keywords

black-box optimizationnonparametric quantile regressionB-spline priorblock Metropolis-HastingsNorth Atlantic hurricane dataUS household income data

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Nonparametric regression and quantile regression (62G08)

Abstract: In this paper, we consider Bayesian methods for non-parametric quantile regressions with multiple continuous predictors ranging values in the unit interval. In the first method, the quantile function is assumed to be smooth over the explanatory variable and is expanded in tensor product of B-spline basis functions. While in the second method, the distribution function is assumed to be smooth over the explanatory variable and is expanded in tensor product of B-spline basis functions. Unlike other existing methods of non-parametric quantile regressions, the proposed methods estimate the whole quantile function instead of estimating on a grid of quantiles. Priors on the B-spline coefficients are put in such a way that the monotonicity of the estimated quantile levels are maintained unlike local polynomial quantile regression methods. The proposed methods have also been modified for quantile grid data where only the percentile range of each response observations are known. Simulations studies have been provided for both complete and quantile grid data. The proposed method has been used to estimate the quantiles of US household income data and North Atlantic hurricane intensity data.

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Cited in

(11)

• Recursive modified pattern search on high-dimensional simplex: a blackbox optimization technique
• Bayesian nonparametric quantile process regression and estimation of marginal quantile effects
• Semiparametric quantile regression using family of quantile-based asymmetric densities
• A composite Bayesian approach for quantile curve fitting with non-crossing constraints
• Parametric modeling of quantile regression coefficient functions with count data
• Bayesian nonparametric quantile regression using splines
• Robust estimation and regression with parametric quantile functions
• Bayesian multivariate quantile regression using dependent Dirichlet process prior
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• Joint modelling of non-crossing additive quantile regression via constrained B-spline varying coefficients
• Parametric estimation of non-crossing quantile functions

Describes a project that uses

Uses Software

• quantreg
• DPpackage

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