Bayesian quantile regression for partially linear additive models

DOI10.1007/S11222-013-9446-9zbMATH Open1331.62143arXiv1307.2668OpenAlexW2071942331MaRDI QIDQ5963735FDOQ5963735

Yuao Hu, Kaifeng Zhao, Heng Lian

Publication date: 23 February 2016

Published in: Statistics and Computing (Search for Journal in Brave)

Abstract: In this article, we develop a semiparametric Bayesian estimation and model selection approach for partially linear additive models in conditional quantile regression. The asymmetric Laplace distribution provides a mechanism for Bayesian inferences of quantile regression models based on the check loss. The advantage of this new method is that nonlinear, linear and zero function components can be separated automatically and simultaneously during model fitting without the need of pre-specification or parameter tuning. This is achieved by spike-and-slab priors using two sets of indicator variables. For posterior inferences, we design an effective partially collapsed Gibbs sampler. Simulation studies are used to illustrate our algorithm. The proposed approach is further illustrated by applications to two real data sets.

Full work available at URL: https://arxiv.org/abs/1307.2668

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zbMATH Keywords

Markov chain Monte Carlovariable selectionadditive modelsquantile regression

Mathematics Subject Classification ID

Bayesian inference (62F15)

Cites Work

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Cited In (15)

• Estimation and variable selection of quantile partially linear additive models for correlated data
• The expectation-maximization approach for Bayesian quantile regression
• Bayesian analysis for quantile smoothing spline
• Flexible Bayesian quantile regression based on the generalized asymmetric Huberised-type distribution
• Additive models for extremal quantile regression with Pareto-type distributions
• Partial replacement imputation estimation for partially linear models with complex missing pattern covariates
• Simultaneous linear quantile regression: a semiparametric Bayesian approach
• Bayesian regularized quantile structural equation models
• Bayesian Additive Machine: classification with a semiparametric discriminant function
• Bayesian quantile regression using the skew exponential power distribution
• Bayesian spectral analysis models for quantile regression with Dirichlet process mixtures
• Bayesian quantile regression for hierarchical linear models
• Multiple-output quantile regression neural network
• Bayesian bridge-randomized penalized quantile regression estimation for linear regression model with AP(q) perturbation
• Posterior Inference in Bayesian Quantile Regression with Asymmetric Laplace Likelihood

Uses Software

• hgam

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