Bayesian bridge quantile regression

ABSTRACT

Regularization methods for simultaneous variable selection and coefficient estimation have been shown to be effective in quantile regression in improving the prediction accuracy. In this article, we propose the Bayesian bridge for variable selection and coefficient estimation in quantile regression. A simple and efficient Gibbs sampling algorithm was developed for posterior inference using a scale mixture of uniform representation of the Bayesian bridge prior. This is the first work to discuss regularized quantile regression with the bridge penalty. Both simulated and real data examples show that the proposed method often outperforms quantile regression without regularization, lasso quantile regression, and Bayesian lasso quantile regression.

KEYWORDS:

• Bayesian inference
• MCMC
• Qantile regression
• Skewed Laplace distribution

MATHEMATICS SUBJECT CLASSIFICATION:

• 62-XX
• 62F15