Bayesian semiparametric additive quantile regression

Elisabeth Waldmann (), Thomas Kneib (), Yu Ryan Yu () and Stefan Lang ()

Working Papers from Faculty of Economics and Statistics, Universität Innsbruck

Abstract: Quantile regression provides a convenient framework for analyzing the impact of covariates on the complete conditional distribution of a response variable instead of only the mean. While frequentist treatments of quantile regression are typically completely nonparametric, a Bayesian formulation relies on assuming the asymmetric Laplace distribution as auxiliary error distribution that yields posterior modes equivalent to frequentist estimates. In this paper, we utilize a location-scale-mixture of normals representation of the asymmetric Laplace distribution to transfer different flexible modeling concepts from Gaussian mean regression to Bayesian semiparametric quantile regression. In particular, we will consider high-dimensional geoadditive models comprising LASSO regularization priors and mixed models with potentially non-normal random effects distribution modeled via a Dirichlet process mixture. These extensions are illustrated using two large-scale applications on net rents in Munich and longitudinal measurements on obesity among children.

Keywords: asymmetric Laplace distribution; Bayesian quantile regression; Dirichlet process mixtures; LASSO; P-splines (search for similar items in EconPapers)
Pages: 33
Date: 2012-04
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Citations: View citations in EconPapers (1)

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