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Bayesian Semiparametric Modelling in Quantile Regression

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  • ATHANASIOS KOTTAS
  • MILOVAN KRNJAJIĆ

Abstract

. We propose a Bayesian semiparametric methodology for quantile regression modelling. In particular, working with parametric quantile regression functions, we develop Dirichlet process mixture models for the error distribution in an additive quantile regression formulation. The proposed non‐parametric prior probability models allow the shape of the error density to adapt to the data and thus provide more reliable predictive inference than models based on parametric error distributions. We consider extensions to quantile regression for data sets that include censored observations. Moreover, we employ dependent Dirichlet processes to develop quantile regression models that allow the error distribution to change non‐parametrically with the covariates. Posterior inference is implemented using Markov chain Monte Carlo methods. We assess and compare the performance of our models using both simulated and real data sets.

Suggested Citation

  • Athanasios Kottas & Milovan Krnjajić, 2009. "Bayesian Semiparametric Modelling in Quantile Regression," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 36(2), pages 297-319, June.
    • Handle: RePEc:bla:scjsta:v:36:y:2009:i:2:p:297-319
    DOI: 10.1111/j.1467-9469.2008.00626.x
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    References listed on IDEAS

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    7. Alan E. Gelfand & Athanasios Kottas, 2003. "Bayesian Semiparametric Regression for Median Residual Life," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 30(4), pages 651-665, December.
    8. Yu, Keming & Moyeed, Rana A., 2001. "Bayesian quantile regression," Statistics & Probability Letters, Elsevier, vol. 54(4), pages 437-447, October.
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