Bayesian joint-quantile regression

DOI10.1007/S00180-020-00998-WMaRDI QIDQ2667013zbMATH OpenOpenAlexFDO

Authors Yingying Hu, Huixia Judy Wang, Xuming He, Jianhua Guo

Publication date 23 November 2021

Published in Computational Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00180-020-00998-w

zbMATH Keywords

adaptive metropolisasymmetric Laplace distributiondelayed rejectionhigh quantilequantile regression

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Bayesian inference (62F15) Nonparametric regression and quantile regression (62G08)

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Cited in

(10)

• A predictive approach to tail probability estimation
• A semiparametric Bayesian approach for joint-quantile regression with clustered data
• Bayesian joint inference for multivariate quantile regression model with \(L_{1/2}\) penalty
• Joint estimation of conditional quantiles in multivariate linear regression models with an application to financial distress
• Graphical models via joint quantile regression with component selection
• Optimally combined estimation for tail quantile regression
• Multivariate quantile function models
• Bayesian joint quantile autoregression
• Posterior rates of convergence for composite quantile regression
• Credit line exposure at default modelling using Bayesian mixed effect quantile regression

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