コバヤシ　ゲンヤ   KOBAYASHI GENYA   小林　弦矢    所属   明治大学  商学部    職種   専任教授
言語種別	英語
発行・発表の年月	2011
形態種別	学術雑誌
査読	査読あり
標題	Gibbs sampling methods for Bayesian quantile regression
執筆形態	共著(筆頭者以外)
掲載誌名	JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION
掲載区分	国外
出版社・発行元	TAYLOR & FRANCIS LTD
巻・号・頁	81(11),pp.1565-1578
著者・共著者	Hideo Kozumi, Genya Kobayashi
概要	This paper considers quantile regression models using an asymmetric Laplace distribution from a Bayesian point of view. We develop a simple and efficient Gibbs sampling algorithm for fitting the quantile regression model based on a location-scale mixture representation of the asymmetric Laplace distribution. It is shown that the resulting Gibbs sampler can be accomplished by sampling from either normal or generalized inverse Gaussian distribution. We also discuss some possible extensions of our approach, including the incorporation of a scale parameter, the use of double exponential prior, and a Bayesian analysis of Tobit quantile regression. The proposed methods are illustrated by both simulated and real data.
DOI	10.1080/00949655.2010.496117
ISSN	0094-9655