Journal
STATISTICS & PROBABILITY LETTERS
Volume 54, Issue 4, Pages 437-447Publisher
ELSEVIER SCIENCE BV
DOI: 10.1016/S0167-7152(01)00124-9
Keywords
asymmetric Laplace distribution; Bayesian inference; Markov chain Monte Carlo methods; quantile regression
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The paper introduces the idea of Bayesian quantile regression employing a likelihood function that is based on the asymmetric Laplace distribution. It is shown that irrespective of the original distribution of the data, the use of the asymmetric Laplace distribution is a very natural and effective way for modelling Bayesian quantile regression. The paper also demonstrates that improper uniform priors for the unknown model parameters yield a proper joint posterior. The approach is illustrated via a simulated and two real data sets, (C) 2001 Elsevier Science B.V. All rights reserved.
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