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Bayesian quantile regression. (English) Zbl 0983.62017
Summary: The paper introduces the idea of Bayesian quantile regression employing a likelihood function that is based on the asymmetric Laplace distribution. It is shown that irrespective of the original distribution of the data, the use of the asymmetric Laplace distribution is a very natural and effective way for modelling Bayesian quantile regression. The paper also demonstrates that improper uniform priors for the unknown model parameters yield a proper joint posterior. The approach is illustrated via a simulated and two real data sets.

MSC:
62F15 Bayesian inference
62J05 Linear regression; mixed models
65C60 Computational problems in statistics (MSC2010)
Software:
bayesQR; R; S-PLUS
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References:
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