Bayesian Analysis of Time-Varying Quantiles Using a Smoothing Spline

DOI10.14490/JJSS.42.23MaRDI QIDQ4915552zbMATH OpenOpenAlexFDO

Authors Yuta Kurose, Yasuhiro Omori

Publication date 11 April 2013

Published in JOURNAL OF THE JAPAN STATISTICAL SOCIETY (Search for Journal in Brave)

Full work available at URL https://www.jstage.jst.go.jp/A_PRedirectJournalInit?sryCd=jjss&kijiCd=42_23&screenID=AF06S010&noVol=42&noIssue=1

zbMATH Keywords

Markov chain Monte Carlosmoothing splinestate space approachasymmetric double exponential distributionmulti-move samplertime-varying quantile

Mathematics Subject Classification ID

Statistics (62-XX)

Cited in

(1)

• Bayesian tail risk interdependence using quantile regression

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