Bayesian quantile regression for single-index models

Using an asymmetric Laplace distribution, which provides a mechanism for Bayesian inference of quantile regression models, we develop a fully Bayesian approach to fitting single-index models in conditional quantile regression. In this work, we use a Gaussian process prior for the unknown nonparametr...

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Bibliographic Details
Main Authors: Hu, Yuao, Lian, Heng, Gramacy, Robert B.
Other Authors: School of Physical and Mathematical Sciences
Format: Article
Language:English
Published: 2013
Online Access:https://hdl.handle.net/10356/99409
http://hdl.handle.net/10220/17383
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Institution: Nanyang Technological University
Language: English