Bayesian regularized quantile regression
Bayesian regularized quantile regression
Regularization, e.g. lasso, has been shown to be effective in quantile regression in improving the prediction accuracy (Li and Zhu, 2008; Wu and Liu, 2009). This paper studies regularization in quantile regressions from a Bayesian perspective. By proposing a hierarchical model framework, we give a generic treatment to a set …