Gibbs sampling methods for Bayesian quantile regression
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Publication:5300754
DOI10.1080/00949655.2010.496117zbMATH Open1431.62018OpenAlexW1998073888WikidataQ63018284 ScholiaQ63018284MaRDI QIDQ5300754FDOQ5300754
Authors: Hideo Kozumi, Genya Kobayashi 
Publication date: 28 June 2013
Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)
Full work available at URL: https://www.b.kobe-u.ac.jp/papers_files/2009_02.pdf
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- scientific article; zbMATH DE number 1785747
Gibbs samplerasymmetric Laplace distributionBayesian quantile regressiongeneralized inverse Gaussian distributionTobit quantile regressiondouble exponential prior
Computational methods for problems pertaining to statistics (62-08) Bayesian inference (62F15) Nonparametric regression and quantile regression (62G08) Applications of statistics to economics (62P20)
Cites Work
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- Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
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- Title not available (Why is that?)
Cited In (only showing first 100 items - show all)
- Modeling tail risks of inflation using unobserved component quantile regressions
- Bayesian quantile regression for longitudinal count data
- Bayesian elastic net single index quantile regression
- Bayesian composite quantile regression
- Bayesian Lasso-mixed quantile regression
- A Bayesian quantile regression approach to multivariate semi-continuous longitudinal data
- A Bayesian two-part quantile regression model for count data with excess zeros
- Quantile regression via the EM algorithm for joint modeling of mixed discrete and continuous data based on Gaussian copula
- A joint quantile regression model for multiple longitudinal outcomes
- Bayesian reciprocal LASSO quantile regression
- A semi-parametric quantile regression approach to zero-inflated and incomplete longitudinal outcomes
- Bayesian nonlinear quantile regression approach for longitudinal ordinal data
- Bayesian analysis for quantile smoothing spline
- Bayesian quantile regression with mixed discrete and nonignorable missing covariates
- Bayesian inference for quantile autoregressive model with explanatory variables
- Bayesian analysis of dynamic panel data by penalized quantile regression
- Bayesian adaptive Lasso for quantile regression models with nonignorably missing response data
- Quantile regression-based Bayesian joint modeling analysis of longitudinal-survival data, with application to an AIDS cohort study
- A non-iterative posterior sampling algorithm for linear quantile regression model
- Asymptotic properties of nonparametric estimation and quantile regression in Bayesian structural equation models
- Bayesian joint inference for multivariate quantile regression model with \(L_{1/2}\) penalty
- Marginal M-quantile regression for multivariate dependent data
- Bayesian bridge-randomized penalized quantile regression for ordinal longitudinal data, with application to firm's bond ratings
- TAIL FORECASTING WITH MULTIVARIATE BAYESIAN ADDITIVE REGRESSION TREES
- Likelihood-based quantile autoregressive distributed lag models and its applications
- Bayesian quantile regression for analyzing ordinal longitudinal responses in the presence of non-ignorable missingness
- Bayesian bridge-randomized penalized quantile regression
- Bayesian quantile regression analysis for continuous data with a discrete component at zero
- Quantile regression in random effects meta-analysis model
- Capital asset pricing model through quantile regression: an entropy approach
- Bayesian nonparametric quantile mixed-effects models via regularization using Gaussian process priors
- Gibbs sampler algorithm of Bayesian weighted composite quantile regression
- Bayesian quantile regression for ordinal longitudinal data
- A Bayesian conditional model for bivariate mixed ordinal and skew continuous longitudinal responses using quantile regression
- Bayesian quantile regression for joint modeling of longitudinal mixed ordinal and continuous data
- Gibbs posterior inference on multivariate quantiles
- Quantile regression neural networks: a Bayesian approach
- Bayesian spectral analysis models for quantile regression with Dirichlet process mixtures
- Shrinkage estimation of fixed and random effects in linear quantile mixed models
- Constrained Bayesian doubly elastic net Lasso for linear quantile mixed models
- Application of the stochastic quasigradient method for estimation of unknown parameter of the Gibbs distribution
- A Bayesian variable selection approach to longitudinal quantile regression
- Bayesian bent line quantile regression model
- Noncrossing structured additive multiple-output Bayesian quantile regression models
- Bayesian quantile semiparametric mixed-effects double regression models
- Joint mixture quantile regressions and time-to-event analysis
- Markov switching quantile regression models with time-varying transition probabilities
- Improved local quantile regression
- Quantile regression with group Lasso for classification
- Bayesian bridge-randomized penalized quantile regression estimation for linear regression model with AP(q) perturbation
- Fully Bayesian estimation of simultaneous regression quantiles under asymmetric Laplace distribution specification
- A Gibbs Sampling Algorithm for a Changing Regression Model with Pooled Binary Response Data
- Bayesian LASSO-Regularized quantile regression for linear regression models with autoregressive errors
- Bayesian bridge quantile regression
- Bayesian single-index quantile regression for ordinal data
- Nonparametric quantile scalar-on-image regression
- Gibbs sampling for mixture quantile regression based on asymmetric Laplace distribution
- Flexible Bayesian quantile regression for nonlinear mixed effects models based on the generalized asymmetric Laplace distribution
- Discussion
- Financial conditions, macroeconomic uncertainty, and macroeconomic tail risks
- Variable selection for quantile autoregressive model: Bayesian methods versus classical methods
- Analyzing return asymmetry and quantiles through stochastic volatility models using asymmetric Laplace error via uniform scale mixtures
- An ABC approach for CAViaR models with asymmetric kernels
- Flexible Bayesian quantile regression based on the generalized asymmetric Huberised-type distribution
- Bayesian time-varying quantile regression to extremes
- A Bayesian quantile joint modeling of multivariate longitudinal and time-to-event data
- A composite Bayesian approach for quantile curve fitting with non-crossing constraints
- Inference with three-level prior distributions in quantile regression problems
- Spatial quantile autoregression for season within year daily maximum temperature data
- Do maternal health problems influence child's worrying status? Evidence from the British cohort study
- Approximate Gibbs sampler for Bayesian Huberized lasso
- Maximum likelihood estimation for quantile autoregression models with Markovian switching
- Identifying meteorological drivers of \(PM_{2.5}\) levels via a Bayesian spatial quantile regression
- Bayesian CV@R/super-quantile regression
- Bayesian quantile regression models based on Gibbs-DA algorithm
- Bayesian multiple quantile regression for linear models using a score likelihood
- Fast and locally adaptive Bayesian quantile smoothing using calibrated variational approximations
- A Bayesian Approach to Envelope Quantile Regression
- Bayesian semiparametric approach to quantile nonlinear dynamic factor analysis models with mixed ordered and nonignorable missing data
- Bayesian variable selection in quantile regression with random effects: an application to Municipal Human Development Index
- Robust quantile regression using a generalized class of skewed distributions
- PDE-regularised spatial quantile regression
- Bayesian time-varying quantile regression on exceedance
- The spike-and-slab quantile Lasso for robust variable selection in cancer genomics studies
- Two-part quantile regression models for semi-continuous longitudinal data: a finite mixture approach
- Bayesian composite \(L^p\)-quantile regression
- Bayesian weighted composite quantile regression estimation for linear regression models with autoregressive errors
- Quantile regression with multiple proxy variables
- Variational inference on a Bayesian adaptive lasso Tobit quantile regression model
- Weighted composite quantile regression for longitudinal mixed effects models with application to AIDS studies
- Likelihood-based quantile mixed effects models for longitudinal data with multiple features via MCEM algorithm
- Bayesian Quantile Regression for Big Data Analysis
- Analysis of MCMC algorithms for Bayesian linear regression with Laplace errors
- Geometric ergodicity of the Gibbs sampler for Bayesian quantile regression
- Bayesian Lasso binary quantile regression
- Bayesian joint-quantile regression
- Brq: an R package for Bayesian quantile regression
- A spectral analytic comparison of trace-class data augmentation algorithms and their sandwich variants
- Calibration of numerical model output using nonparametric spatial density functions
- Conditional empirical likelihood for quantile regression models
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