Fast and locally adaptive Bayesian quantile smoothing using calibrated variational approximations

DOI10.1007/S11222-023-10327-YMaRDI QIDQ6089226zbMATH OpenOpenAlexFDO

Authors Takahiro Onizuka, Shintaro Hashimoto, Shonosuke Sugasawa

Publication date 17 November 2023

Published in Statistics and Computing (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2211.04666

zbMATH Keywords

calibrationmodel misspecificationnonparametric quantile regressionshrinkage priortrend filteringvariational Bayes

Mathematics Subject Classification ID

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

Abstract: Quantiles are useful characteristics of random variables that can provide substantial information on distributions compared with commonly used summary statistics such as means. In this paper, we propose a Bayesian quantile trend filtering method to estimate non-stationary trend of quantiles. We introduce general shrinkage priors to induce locally adaptive Bayesian inference on trends and mixture representation of the asymmetric Laplace likelihood. To quickly compute the posterior distribution, we develop calibrated mean-field variational approximations to guarantee that the frequentist coverage of credible intervals obtained from the approximated posterior is a specified nominal level. Simulation and empirical studies show that the proposed algorithm is computationally much more efficient than the Gibbs sampler and tends to provide stable inference results, especially for high/low quantiles.

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Cited in

(5)

• Baseline drift estimation for air quality data using quantile trend filtering
• Fast Calibrated Additive Quantile Regression
• Bayesian boundary trend filtering
• Robust Bayesian graphical modeling using -divergence
• Fast inference for time-varying quantiles via flexible dynamic models with application to the characterization of atmospheric rivers

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