Bayesian empirical likelihood for quantile regression
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Publication:447855
DOI10.1214/12-AOS1005zbMATH Open1274.62458arXiv1207.5378WikidataQ63018282 ScholiaQ63018282MaRDI QIDQ447855FDOQ447855
Authors: Yunwen Yang, Xuming He 
Publication date: 29 August 2012
Published in: The Annals of Statistics (Search for Journal in Brave)
Abstract: Bayesian inference provides a flexible way of combining data with prior information. However, quantile regression is not equipped with a parametric likelihood, and therefore, Bayesian inference for quantile regression demands careful investigation. This paper considers the Bayesian empirical likelihood approach to quantile regression. Taking the empirical likelihood into a Bayesian framework, we show that the resultant posterior from any fixed prior is asymptotically normal; its mean shrinks toward the true parameter values, and its variance approaches that of the maximum empirical likelihood estimator. A more interesting case can be made for the Bayesian empirical likelihood when informative priors are used to explore commonality across quantiles. Regression quantiles that are computed separately at each percentile level tend to be highly variable in the data sparse areas (e.g., high or low percentile levels). Through empirical likelihood, the proposed method enables us to explore various forms of commonality across quantiles for efficiency gains. By using an MCMC algorithm in the computation, we avoid the daunting task of directly maximizing empirical likelihood. The finite sample performance of the proposed method is investigated empirically, where substantial efficiency gains are demonstrated with informative priors on common features across several percentile levels. A theoretical framework of shrinking priors is used in the paper to better understand the power of the proposed method.
Full work available at URL: https://arxiv.org/abs/1207.5378
Recommendations
Asymptotic properties of parametric estimators (62F12) Asymptotic properties of nonparametric inference (62G20) Linear regression; mixed models (62J05)
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