bayesQR

swMATH11009CRANbayesQRMaRDI QIDQ22961

Bayesian Quantile Regression

Dries F. Benoit

Last update: 8 September 2023

Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0

Software version identifier: 2.3, 1.0, 1.1, 1.2, 1.3, 2.0, 2.1, 2.2, 2.4

Source code repository: https://github.com/cran/bayesQR

Description

Bayesian quantile regression using the asymmetric Laplace distribution, both continuous as well as binary dependent variables are supported. The package consists of implementations of the methods of Yu & Moyeed (2001) <doi:10.1016/S0167-7152(01)00124-9>, Benoit & Van den Poel (2012) <doi:10.1002/jae.1216> and Al-Hamzawi, Yu & Benoit (2012) <doi:10.1177/1471082X1101200304>. To speed up the calculations, the Markov Chain Monte Carlo core of all algorithms is programmed in Fortran and called from R.

Cites work

• Binary quantile regression: a Bayesian approach based on the asymmetric Laplace distribution
• Bayesian adaptive Lasso quantile regression
• Unnamed Publication

Described by source

• Bayesian Lasso binary quantile regression