Horseshoe prior Bayesian quantile regression

DOI10.1093/JRSSSC/QLAD091MaRDI QIDQ6576200zbMATH OpenFDO

Authors David Kohns, Tibor Szendrei

Publication date 22 July 2024

Published in Journal of the Royal Statistical Society. Series C. Applied Statistics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1093/JRSSSC/QLAD091

zbMATH Keywords

global-local priorgrowth-at-riskMonte Carloquantile regressionsampling method

Mathematics Subject Classification ID

Applications of statistics (62Pxx)

Cited in

(7)

• A sparse PAC-Bayesian approach for high-dimensional quantile prediction
• Bayesian hierarchical models with calibrated mixtures of g-priors for assessing treatment effect moderation in meta-analysis
• Bayesian variable selection in high-dimensional ordinal quantile regression models
• The ARR2 prior: flexible predictive prior definition for Bayesian auto-regressions
• Generalized decomposition priors on R2
• Robust Bayesian high-dimensional variable selection and inference with the horseshoe family of priors
• Bayesian singular value decomposition procedure based on the horseshoe prior

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