On Bayesian quantile regression using a pseudo-joint asymmetric Laplace likelihood

DOI10.1007/S13171-015-0079-2MaRDI QIDQ288264zbMATH OpenOpenAlexFDO

Authors Karthik Sriram, R. V. Ramamoorthi, Pulak Ghosh

Publication date 25 May 2016

Published in Sankhyā. Series A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s13171-015-0079-2

zbMATH Keywords

pseudo-likelihoodasymmetric Laplace densityBayesian quantile regression

Mathematics Subject Classification ID

General nonlinear regression (62J02) Bayesian problems; characterization of Bayes procedures (62C10)

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Cites work

• A Bayesian nonparametric approach to inference for quantile regression
• A note on L-estimates for linear models
• Approximate Bayesian inference for quantiles
• Bayesian empirical likelihood for quantile regression
• Bayesian inference for additive mixed quantile regression models
• Bayesian nonparametrics
• Bayesian quantile regression
• Bayesian quantile regression: an application to the wage distribution in 1990s Britain
• Bayesian spatial quantile regression
• Composite quantile regression and the oracle model selection theory
• Convergence rates of posterior distributions for non iid observations
• Non-Crossing Non-Parametric Estimates of Quantile Curves
• On posterior concentration in misspecified models
• Posterior consistency of Bayesian quantile regression based on the misspecified asymmetric Laplace density
• Posterior consistency of Gaussian process prior for nonparametric binary regression
• Quantile and probability curves without crossing
• Regression Quantiles
• Simultaneous linear quantile regression: a semiparametric Bayesian approach
• Stepwise multiple quantile regression estimation using non-crossing constraints
• The Bernstein-von Mises theorem under misspecification

Cited in

(10)

• A Gaussian pseudolikelihood approach for quantile regression with repeated measurements
• A Bayesian Approach to Multiple-Output Quantile Regression
• Bayesian joint-quantile regression
• Bayesian quantile regression using the skew exponential power distribution
• Bayesian multiple quantile regression for linear models using a score likelihood
• Estimation of linear composite quantile regression using EM algorithm
• A composite Bayesian approach for quantile curve fitting with non-crossing constraints
• Posterior consistency of Bayesian quantile regression based on the misspecified asymmetric Laplace density
• Bayesian quantile regression with approximate likelihood
• Fully Bayesian estimation of simultaneous regression quantiles under asymmetric Laplace distribution specification

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