Bayesian quantile inference

被引：74

作者：

Tsionas, EG ^{[1
]}

机构：

[1] Athens Univ Econ & Business, Dept Econ, Athens 10434, Greece

来源：

JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION | 2003年 / 73卷 / 09期

关键词：

Laplace distribution; quantile regression; Bayesian analysis; Gibbs sampling; kuznets curve;

D O I：

10.1080/0094965031000064463

中图分类号：

TP39 [计算机的应用];

学科分类号：

081203 ; 0835 ;

摘要：

The paper proposes a Bayesian interpretation of quantile regression that is shown to be equivalent to scale mixtures of normals leading to a skewed Laplace distribution. This representation of the model facilitates Bayesian analysis by means of Gibbs sampling with data augmentation, and nests regression in the L-1 norm as a special case. The new methods are applied to an analysis of the patents - R&D relationship for U.S. firms and unit root inference for the dollar-deutschemark exchange rate.

引用

页码：659 / 674

页数：16

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