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Bayesian adaptive Lasso quantile regression

Rahim Alhamzawi (), K. Yu and D. F. Benoit
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D. F. Benoit: -

Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium from Ghent University, Faculty of Economics and Business Administration

Abstract: Recently, variable selection by penalized likelihood has attracted much research interest. In this paper, we propose adaptive Lasso quantile regression (BALQR) from a Bayesian perspective. The method extends the Bayesian Lasso quantile regression by allowing different penalization parameters for different regression coefficients. Inverse gamma prior distributions are placed on the penalty parameters. We treat the hyperparameters of the inverse gamma prior as unknowns and estimate them along with the other parameters. A Gibbs sampler is developed to simulate the parameters from the posterior distributions. Through simulation studies and analysis of a prostate cancer data set, we compare the performance of the BALQR method proposed with six existing Bayesian and non-Bayesian methods. The simulation studies and the prostate cancer data analysis indicate that the BALQR method performs well in comparision to the other approaches.

Keywords: Gibbs sampler; Lasso; Quantile regression; Skewed Laplace distribution. (search for similar items in EconPapers)
Pages: 28 pages
Date: 2011-07
New Economics Papers: this item is included in nep-ecm
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Persistent link: https://EconPapers.repec.org/RePEc:rug:rugwps:11/728

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