A semiparametric Bayesian approach for joint-quantile regression with clustered data

Woosung Jang and Huixia Judy Wang

Computational Statistics & Data Analysis, 2015, vol. 84, issue C, 99-115

Abstract: Based on a semiparametric Bayesian framework, a joint-quantile regression method is developed for analyzing clustered data, where random effects are included to accommodate the intra-cluster dependence. Instead of posing any parametric distributional assumptions on the random errors, the proposed method approximates the central density by linearly interpolating the conditional quantile functions of the response at multiple quantiles and estimates the tail densities by adopting extreme value theory. Through joint-quantile modeling, the proposed algorithm can yield the joint posterior distribution of quantile coefficients at multiple quantiles and meanwhile avoid the quantile crossing issue. The finite sample performance of the proposed method is assessed through a simulation study and the analysis of an apnea duration data.

Keywords: Generalized Pareto distribution; Markov chain Monte Carlo; Mixed model; Quantile regression; Random effects (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:csdana:v:84:y:2015:i:c:p:99-115

DOI: 10.1016/j.csda.2014.11.008

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