Prior conditioned on scale parameter for Bayesian quantile LASSO and its generalizations

DOI10.4310/21-SII666MaRDI QIDQ2073550zbMATH OpenFDO

Authors Zhongheng Cai, Dongchu Sun

Publication date 2 February 2022

Published in Statistics and Its Interface (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4310/21-SII666

zbMATH Keywords

asymmetric Laplace densityBayesian quantile LASSObridge regressiongroup LASSOposterior propriety

Mathematics Subject Classification ID

Statistics (62-XX)

Cited in

(2)

• Approximate Gibbs sampler for Bayesian Huberized lasso
• Flexible Bayesian quantile regression based on the generalized asymmetric Huberised-type distribution

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