PuSH - Publikationsserver des Helmholtz Zentrums München

Waldmann, E.* ; Kneib, T.* ; Yue, Y.R.* ; Lang, S.* ; Flexeder, C.

Bayesian semiparametric additive quantile regression.

Stat. Model. 13, 223-252 (2013)
DOI
Open Access Green möglich sobald Postprint bei der ZB eingereicht worden ist.
Quantile regression provides a convenient framework for analyzing the impact of covariates on the complete conditional distribution of a response variable instead of only the mean. While frequentist treatments of quantile regression are typically completely nonparametric, a Bayesian formulation relies on assuming the asymmetric Laplace distribution as auxiliary error distribution that yields posterior modes equivalent to frequentist estimates. In this paper, we utilize a location-scale mixture of normals representation of the asymmetric Laplace distribution to transfer different flexible modelling concepts from Gaussian mean regression to Bayesian semiparametric quantile regression. In particular, we will consider high-dimensional geoadditive models comprising LASSO regularization priors and mixed models with potentially non-normal random effects distribution modeled via a Dirichlet process mixture. These extensions are illustrated using two large-scale applications on net rents in Munich and longitudinal measurements on obesity among children. The impact of the likelihood misspecification that underlies the Bayesian formulation of quantile regression is studied in terms of simulations.
Altmetric
Weitere Metriken?
[➜Einloggen]
Zusatzinfos bearbeiten [➜Einloggen]
Publikationstyp Artikel: Journalartikel
Dokumenttyp Wissenschaftlicher Artikel
Korrespondenzautor
Schlagwörter Quantile Regression ; Geodditive Regression ; Mcmc ; Lasso Regularization ; Dirichlet Process; Variable Selection ; Models ; Lasso ; Splines ; Regularization ; Shrinkage
ISSN (print) / ISBN 1471-082X
e-ISSN 1477-0342
Zeitschrift Statistical Modelling
Quellenangaben Band: 13, Heft: 3, Seiten: 223-252 Artikelnummer: , Supplement: ,
Verlag Sage
Nichtpatentliteratur Publikationen
Begutachtungsstatus Peer reviewed
Institut(e) Institute of Epidemiology (EPI)