Regularized Bayesian quantile regression

DOI10.1080/03610918.2017.1280830zbMath1392.62114OpenAlexW2579916485MaRDI QIDQ4563406

Garba Salaou, André st-Hilaire, Salaheddine El Adlouni

Publication date: 1 June 2018

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: http://espace.inrs.ca/6354/1/P003169.pdf

zbMATH Keywords

ridgequantile regressionB-splinesBayesian inferenceasymmetric Laplace distributionLassoSCAD

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Ridge regression; shrinkage estimators (Lasso) (62J07) Bayesian inference (62F15)

Related Items

Bayesian variable selection and estimation in quantile regression using a quantile-specific prior ⋮ Bayesian non-crossing quantile regression for regularly varying distributions

Uses Software

• CAViaR

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