Bayesian quantile regression using the skew exponential power distribution

DOI10.1016/j.csda.2018.04.008zbMath1469.62022OpenAlexW2801092597WikidataQ115577949 ScholiaQ115577949MaRDI QIDQ1663095

Mauro Bernardi, Lea Petrella, Marco Bottone

Publication date: 21 August 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2018.04.008

zbMATH Keywords

asymmetric Laplace distributionMCMCLassoBayesian quantile regressionskew exponential power distribution

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Nonparametric regression and quantile regression (62G08) Bayesian inference (62F15)

Related Items

Hidden semi-Markov-switching quantile regression for time series ⋮ Bayesian time-varying quantile regression on exceedance ⋮ Loss-based approach to two-piece location-scale distributions with applications to dependent data ⋮ Analysis of skewed data by using compound Poisson exponential distribution with applications to insurance claims ⋮ Unified Bayesian conditional autoregressive risk measures using the skew exponential power distribution

Uses Software

• GMRFLib

Cites Work

• Properties and estimation of asymmetric exponential power distribution
• Asymmetric Least Squares Estimation and Testing
• Bayesian model selection based on proper scoring rules
• Bayesian tail risk interdependence using quantile regression
• Bayesian analysis of a Tobit quantile regression model
• On Bayesian quantile regression using a pseudo-joint asymmetric Laplace likelihood
• Model selection in binary and Tobit quantile regression using the Gibbs sampler
• Bayesian empirical likelihood for quantile regression
• Bayesian inference for additive mixed quantile regression models
• A statistical perspective on ill-posed inverse problems (with discussion)
• Skew exponential power stochastic volatility model for analysis of skewness, non-normal tails, quantiles and expectiles
• On the ergodicity properties of some adaptive MCMC algorithms
• Bayesian variable selection in quantile regression
• Posterior consistency of Bayesian quantile regression based on the misspecified asymmetric Laplace density
• Bayesian nonparametric quantile regression using splines
• Generalized additive models
• Hedonic housing prices and the demand for clean air
• The extended exponential power distribution and Bayesian robustness.
• Flexible smoothing with \(B\)-splines and penalties. With comments and a rejoinder by the authors
• Bayesian endogenous Tobit quantile regression
• Generalized quantiles as risk measures
• Generalized structured additive regression based on Bayesian P-splines
• Multivariate quantiles and multiple-output regression quantiles: from \(L_{1}\) optimization to halfspace depth
• On the \(L_p\)-quantiles for the Student \(t\) distribution
• Spatial quantile multiple regression using the asymmetric Laplace process
• Bayesian regularized quantile regression
• Bayesian Elastic Net Tobit Quantile Regression
• Geoadditive Models
• Bayesian Semiparametric Modelling in Quantile Regression
• The Group Lasso for Logistic Regression
• The Bayesian Lasso
• Bayesian lasso regression
• On scale mixtures of normal distributions
• M-quantiles
• On Bayesian Modeling of Fat Tails and Skewness
• On the Estimation of Production Frontiers: Maximum Likelihood Estimation of the Parameters of a Discontinuous Density Function
• Regression Quantiles
• Fast Computation of Fully Automated Log-Density and Log-Hazard Estimators
• Automatic Bayesian Curve Fitting
• Bayesian Semiparametric Median Regression Modeling
• Goodness of Fit and Related Inference Processes for Quantile Regression
• Gaussian Markov Random Fields
• Bayesian adaptive Lasso quantile regression
• Variable selection in quantile regression via Gibbs sampling
• Bayesian binary quantile regression for the analysis of Bachelor-to-Master transition
• A generalized class of skew distributions and associated robust quantile regression models
• Bayesian Tobit quantile regression usingg-prior distribution with ridge parameter
• Bayesian Spatial Quantile Regression
• Gibbs sampling methods for Bayesian quantile regression
• Probabilistic Forecasts, Calibration and Sharpness
• Model Selection and Estimation in Regression with Grouped Variables
• Coupling and Ergodicity of Adaptive Markov Chain Monte Carlo Algorithms
• An adaptive Metropolis algorithm
• A practical guide to splines.
• Bayesian quantile regression
• Bayesian analysis of some models that use the asymmetric exponential power distribution
• Bayesian quantile regression for partially linear additive models
• Posterior Inference in Bayesian Quantile Regression with Asymmetric Laplace Likelihood
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item