A sandwich likelihood correction for Bayesian quantile regression based on the misspecified asymmetric Laplace density

被引：10
|
作者：
Sriram, Karthik [1 ]
机构：
[1] Indian Inst Management Ahmedabad, Prod & Quantitat Methods Area, Ahmadabad, Gujarat, India
来源：
STATISTICS & PROBABILITY LETTERS | 2015年 / 107卷
关键词：
Bayesian; Asymmetric Laplace; Credible interval; Misspecification; CONSISTENCY;
D O I：
10.1016/j.spl.2015.07.035
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
A sandwich likelihood correction is proposed to remedy an inferential limitation of the Bayesian quantile regression approach based on the misspecified asymmetric Laplace density, by leveraging the benefits of the approach. Supporting theoretical results and simulations are presented. (C) 2015 Elsevier B.V. All rights reserved.
引用
收藏
页码：18 / 26
页数：9
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