Bayesian quantile inference

By Efthymios G. Tsionas. 2003

124 citations recorded by the source corpus.

Subfields: Artificial Intelligence, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/c8e4079f8d6dacec21ebe52bd7f7ff3c65099a45

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Citations in the corpus

Bayesian Time-Varying Quantile Forecasting for Value-at-Risk in Financial Markets (2011, methodology): “Yu and Moyeed (2001) and Tsionas (2003) illustrate the link between the solution to the quantile estimation problem and the likelihood for the SL distribution, as follows.”
A Bayesian Nonparametric Approach to Inference for Quantile Regression (2010, methodology): “and Tsionas (2003) discuss parametric inference based on linear regression functions and the”
Bayesian Quantile Regression for Ordinal Models (2016, methodology): “…and d’Orey 1987), and the interior point algorithm (Karmarkar 1984; Mehrotra 1992; Portnoy and Koenker 1997), whereas Bayesian methods relying on Markov chain Monte Carlo (MCMC) sampling have been proposed in Yu and Moyeed (2001), Tsionas (2003), Reed and Yu (2009), and Kozumi and Kobayashi (2011).”
Bayesian Semiparametric Modelling in Quantile Regression (2009, methodology): “The first model, a scale mixture of asymmetric Laplace densities, extends the parametric work of Yu & Moyeed (2001) and Tsionas (2003).”
Posterior Inference in Bayesian Quantile Regression with Asymmetric Laplace Likelihood (2016, background): “ˇ/ exp ´ Pn iD1 .yi x>i ˇ/ μ : (2.3) Any reasonable choice of the prior, including the flat prior, leads to a proper posterior under some mild conditions (Yu & Moyeed, 2001; Tsionas, 2003; Choi & Hobert, 2013).”
A generalized class of skew distributions and associated robust quantile regression models (2014, methodology): “The Skew Laplace Distribution The skew Laplace distribution or SKL(μ, σ, p) is another popular skew distribution, partly because of its application in quantile regression problems, see Koenker & Machado (1999) and especially for Bayesian quantile regression: see, among others, Yu & Moyeed (2001), Ts”
A partially collapsed Gibbs sampler for Bayesian quantile regression (2009, methodology): “…Carlo) methods via an asymmetric Laplace distribution for the likelihood function (Yu and Moyeed, 2001; Yu and Stander, 2007; Chen and Yu, 2008; Tsionas, 2003), Dirichlet process mixing based nonparametric median zero distribution for the regression model error (Kottas and Gelfand, 2001), an…”
Simultaneous Linear Quantile Regression: A Semiparametric Bayesian Approach (2012, background): “This approach also influenced early attempts at a Bayesian analysis of (1) with a conditional sampling density for the response constructed as Y = β0(τ) + x′β(τ) + σε with ε having the asymmetric Laplace density fε(2) = const × exp[−2(τ − I(2 < 0))] (Yu and Moyeed 2001; Tsionas 2003).”