Bayesian analysis of penalized quantile regression for longitudinal data

A. Aghamohammadi () and S. Mohammadi
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A. Aghamohammadi: University of Zanjan
S. Mohammadi: University of Zanjan

Statistical Papers, 2017, vol. 58, issue 4, No 4, 1035-1053

Abstract: Abstract This paper considers penalized quantile regression model for random effects longitudinal data from a Bayesian perspective. The introduction of a large number of individual random effects can significantly inflate the variability of estimates of other covariate effects. To modify this inflation effect a hierarchical Bayesian model is introduced to shrink the individual effects toward the common population values by using the Lasso and adaptive Lasso penalties in the quantile regression check function. A Gibbs sampling algorithm is developed to simulate the parameters from the posterior distributions. The simulation studies and real data analysis indicate that the proposed methods generally perform better in comparison to the other approaches.

Keywords: Asymmetric Laplace distribution; Bayesian quantile regression; Hierarchical models; Longitudinal data; Penalty methods; Random effects; 62J99; 62F15 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (5)

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DOI: 10.1007/s00362-015-0737-4

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