Sparse signal shrinkage and outlier detection in high-dimensional quantile regression with variational Bayes

DOI10.4310/SII.2020.v13.n2.a8OpenAlexW3004032613MaRDI QIDQ2291654

Beomjo Park, David J. Nott, Taeryon Choi, Xueou Wang, Daeyoung Lim

Publication date: 31 January 2020

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

Full work available at URL: https://doi.org/10.4310/sii.2020.v13.n2.a8

zbMATH Keywords

quantile regressionasymmetric Laplace distributionvariational Bayesoutlier detectionhorseshoe+ prior

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Nonparametric robustness (62G35) Bayesian inference (62F15)

Related Items (3)

Bayesian Approaches to Shrinkage and Sparse Estimation ⋮ Bayesian sparse seemingly unrelated regressions model with variable selection and covariance estimation via the horseshoe+ ⋮ Modeling tail risks of inflation using unobserved component quantile regressions

This page was built for publication: Sparse signal shrinkage and outlier detection in high-dimensional quantile regression with variational Bayes