Bayesian quantile regression for single-index models

Bayesian quantile regression for single-index models

Using an asymmetric Laplace distribution, which provides a mechanism for Bayesian inference of quantile regression models, we develop a fully Bayesian approach to fitting single-index models in conditional quantile regression. In this work, we use a Gaussian process prior for the unknown nonparametr...

Bibliografiset tiedot
Päätekijät:	Hu, Yuao, Lian, Heng, Gramacy, Robert B.
Muut tekijät:	School of Physical and Mathematical Sciences
Aineistotyyppi:	Journal Article
Kieli:	English
Julkaistu:	2013
Linkit:	https://hdl.handle.net/10356/99409 http://hdl.handle.net/10220/17383

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