Abstract
In this article, we introduce three Bayesian variable selection methods for the quantile autoregressive model with explanatory variables. The Gibbs sampling algorithms are developed for each method by setting different priors. The numerical simulations suggest that the Gibbs sampling algorithms converge fast and Bayesian variable selection methods are reliable. A real example is given to analysis the relationship between the count of total rental bikes and five explanatory variables. Both simulations and data example indicate that the proposed methods are feasible, reliable, and appropriate for analyzing the Bike Sharing data set.
Acknowledgments
We gratefully acknowledge the anonymous reviewers for their careful work and thoughtful suggestions that have helped improve this article substantially.
Disclosure statement
No potential conflict of interest was reported by the author(s).