Dynamic quantile linear models: a Bayesian approach

DOI10.1214/19-BA1156zbMath1459.62050arXiv1711.00162OpenAlexW2964247004MaRDI QIDQ2226684

Helio S. Migon, Kelly C. M. Gonçalves, Leonardo S. L. Bastos

Publication date: 9 February 2021

Published in: Bayesian Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1711.00162

zbMATH Keywords

Gibbs samplingasymmetric Laplace distributionBayes lineardynamic modelsBayesian quantile regression

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Applications of statistics to biology and medical sciences; meta analysis (62P10) Bayesian inference (62F15)

Related Items (6)

Bayesian variable selection in quantile regression with random effects: an application to Municipal Human Development Index ⋮ Bayesian time-varying quantile regression on exceedance ⋮ Bayesian Quantile Regression for Big Data Analysis ⋮ Fast inference for time-varying quantiles via flexible dynamic models with application to the characterization of atmospheric rivers ⋮ Empirical likelihood ratio test on quantiles under a density ratio model ⋮ Modeling tail risks of inflation using unobserved component quantile regressions

Uses Software

• R

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