Regularized Bayesian quantile regression

DOI10.1080/03610918.2017.1280830MaRDI QIDQ4563406zbMATHOpenAlexFDO

Authors Salaheddine El Adlouni, Garba Salaou, André st-Hilaire

Publication date 1 June 2018

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL http://espace.inrs.ca/6354/1/P003169.pdf

zbMATH Keywords

ridgeLassoSCADBayesian inferencequantile regressionB-splinesasymmetric Laplace distribution

Mathematics Subject Classification ID

Bayesian inference (62F15) Nonparametric regression and quantile regression (62G08) Ridge regression; shrinkage estimators (Lasso) (62J07)

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Cites work

• scientific article; zbMATH DE number 845714 (Why is no real title available?)
• Additive logistic regression: a statistical view of boosting. (With discussion and a rejoinder by the authors)
• Bayesian Lasso binary quantile regression
• Bayesian composite quantile regression
• Bayesian quantile regression
• Comparison of methodologies to assess the convergence of Markov chain Monte Carlo methods
• Model selection in quantile regression models
• NonparametricM-quantile regression using penalised splines
• One-step sparse estimates in nonconcave penalized likelihood models
• Quantile regression-based Bayesian semiparametric mixed-effects models for longitudinal data with non-normal, missing and mismeasured covariate
• Regression Quantiles
• Simultaneous Regression Shrinkage, Variable Selection, and Supervised Clustering of Predictors with OSCAR
• The Adaptive Lasso and Its Oracle Properties
• The Bayesian Lasso
• Variable Selection and Model Choice in Geoadditive Regression Models
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties

Cited in

(9)

• Bayesian regularized quantile regression
• Bayesian non-crossing quantile regression for regularly varying distributions
• Bayesian tobit quantile regression with penalty
• Flexible Bayesian quantile regression based on the generalized asymmetric Huberised-type distribution
• Bayesian quantile regression using random B-spline series prior
• Bayesian quantile regression based on the empirical likelihood with spike and slab priors
• INLA goes extreme: Bayesian tail regression for the estimation of high spatio-temporal quantiles
• Bayesian variable selection and estimation in quantile regression using a quantile-specific prior
• Bayesian reciprocal LASSO quantile regression

Describes a project that uses

Uses Software

• CAViaR

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