Bayesian Analysis of Time-Varying Quantiles Using a Smoothing Spline

DOI10.14490/JJSS.42.23OpenAlexW2241385156MaRDI QIDQ4915552FDOQ4915552

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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