Fully Bayesian Estimation of Simultaneous Regression Quantiles under Asymmetric Laplace Distribution Specification
In this paper, we are interested in estimating several quantiles simultaneously in a regression context via the Bayesian approach. Assuming that the error term has an asymmetric Laplace distribution and using the relation between two distinct quantiles of this distribution, we propose a simple fully...
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| Format: | Article |
| Language: | English |
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Wiley
2019-01-01
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| Series: | Journal of Probability and Statistics |
| Online Access: | http://dx.doi.org/10.1155/2019/8610723 |
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| _version_ | 1850156951293394944 |
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| author | Josephine Merhi Bleik |
| author_facet | Josephine Merhi Bleik |
| author_sort | Josephine Merhi Bleik |
| collection | DOAJ |
| description | In this paper, we are interested in estimating several quantiles simultaneously in a regression context via the Bayesian approach. Assuming that the error term has an asymmetric Laplace distribution and using the relation between two distinct quantiles of this distribution, we propose a simple fully Bayesian method that satisfies the noncrossing property of quantiles. For implementation, we use Metropolis-Hastings within Gibbs algorithm to sample unknown parameters from their full conditional distribution. The performance and the competitiveness of the underlying method with other alternatives are shown in simulated examples. |
| format | Article |
| id | doaj-art-334256cc3bf94f84b7bf1f638f9f0d76 |
| institution | OA Journals |
| issn | 1687-952X 1687-9538 |
| language | English |
| publishDate | 2019-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Journal of Probability and Statistics |
| spelling | doaj-art-334256cc3bf94f84b7bf1f638f9f0d762025-08-20T02:24:21ZengWileyJournal of Probability and Statistics1687-952X1687-95382019-01-01201910.1155/2019/86107238610723Fully Bayesian Estimation of Simultaneous Regression Quantiles under Asymmetric Laplace Distribution SpecificationJosephine Merhi Bleik0Sorbonne Universités, Université de Technologie de Compiègne, LMAC, Compiègne Cedex, FranceIn this paper, we are interested in estimating several quantiles simultaneously in a regression context via the Bayesian approach. Assuming that the error term has an asymmetric Laplace distribution and using the relation between two distinct quantiles of this distribution, we propose a simple fully Bayesian method that satisfies the noncrossing property of quantiles. For implementation, we use Metropolis-Hastings within Gibbs algorithm to sample unknown parameters from their full conditional distribution. The performance and the competitiveness of the underlying method with other alternatives are shown in simulated examples.http://dx.doi.org/10.1155/2019/8610723 |
| spellingShingle | Josephine Merhi Bleik Fully Bayesian Estimation of Simultaneous Regression Quantiles under Asymmetric Laplace Distribution Specification Journal of Probability and Statistics |
| title | Fully Bayesian Estimation of Simultaneous Regression Quantiles under Asymmetric Laplace Distribution Specification |
| title_full | Fully Bayesian Estimation of Simultaneous Regression Quantiles under Asymmetric Laplace Distribution Specification |
| title_fullStr | Fully Bayesian Estimation of Simultaneous Regression Quantiles under Asymmetric Laplace Distribution Specification |
| title_full_unstemmed | Fully Bayesian Estimation of Simultaneous Regression Quantiles under Asymmetric Laplace Distribution Specification |
| title_short | Fully Bayesian Estimation of Simultaneous Regression Quantiles under Asymmetric Laplace Distribution Specification |
| title_sort | fully bayesian estimation of simultaneous regression quantiles under asymmetric laplace distribution specification |
| url | http://dx.doi.org/10.1155/2019/8610723 |
| work_keys_str_mv | AT josephinemerhibleik fullybayesianestimationofsimultaneousregressionquantilesunderasymmetriclaplacedistributionspecification |