Bayesian inference for additive mixed quantile regression models

Yu Ryan Yue and Håvard Rue

Computational Statistics & Data Analysis, 2011, vol. 55, issue 1, 84-96

Abstract: Quantile regression problems in practice may require flexible semiparametric forms of the predictor for modeling the dependence of responses on covariates. Furthermore, it is often necessary to add random effects accounting for overdispersion caused by unobserved heterogeneity or for correlation in longitudinal data. We present a unified approach for Bayesian quantile inference on continuous response via Markov chain Monte Carlo (MCMC) simulation and approximate inference using integrated nested Laplace approximations (INLA) in additive mixed models. Different types of covariate are all treated within the same general framework by assigning appropriate Gaussian Markov random field (GMRF) priors with different forms and degrees of smoothness. We applied the approach to extensive simulation studies and a Munich rental dataset, showing that the methods are also computationally efficient in problems with many covariates and large datasets.

Keywords: Additive; mixed; models; Asymmetric; Laplace; distribution; Gaussian; Markov; random; fields; Gibbs; sampling; Integrated; nested; Laplace; approximations; Quantile; regression (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (30)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:csdana:v:55:y:2011:i:1:p:84-96

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