Fully Bayesian \(L_{1/2}\)-penalized linear quantile regression analysis with autoregressive errors

DOI10.4310/SII.2020.V13.N3.A1OpenAlexW3017683051MaRDI QIDQ2191184

Yu-Zhu Tian, Xin-Yuan Song

Publication date: 24 June 2020

Published in: Statistics and Its Interface (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4310/sii.2020.v13.n3.a1

zbMATH Keywords

Gibbs samplerBayesian quantile regressionautoregressive errorgeneralized Gaussian distribution\(L_{1/2}\) penalty

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Bayesian inference (62F15)

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