Decoupling Shrinkage and Selection for the Bayesian Quantile Regression

This paper extends the idea of decoupling shrinkage and sparsity for continuous priors to Bayesian Quantile Regression (BQR). The procedure follows two steps: In the first step, we shrink the quantile regression posterior through state of the art continuous priors and in the second step, we sparsify...

Ausführliche Beschreibung

Bibliographische Detailangaben

Hauptverfasser:	Kohns, David, Szendrei, Tibor
Format:	Artikel
Sprache:	eng
Schlagworte:	Statistics - Machine Learning
Online-Zugang:	Volltext bestellen
Tags:	Tag hinzufügen Keine Tags, Fügen Sie den ersten Tag hinzu!