A non-iterative posterior sampling algorithm for linear quantile regression model

作者：Yang, Fengkai; Yuan, Haijing^*

来源：Communications in Statistics - Simulation and Computation, 2017, 46(8): 5861-5878.

DOI：10.1080/03610918.2016.1183780

• Asymmetric Laplace distribution
• EM algorithm
• Gibbs sampling
• Inverse Bayes formulae
• Quantile regression

In this article, a non-iterative posterior sampling algorithm for linear quantile regression model based on the asymmetric Laplace distribution is proposed. The algorithm combines the inverse Bayes formulae, sampling/importance resampling, and the expectation maximization algorithm to obtain independently and identically distributed samples approximately from the observed posterior distribution, which eliminates the convergence problems in the iterative Gibbs sampling and overcomes the difficulty in evaluating the standard deviance in the EM algorithm. The numeric results in simulations and application to the classical Engel data show that the non-iterative sampling algorithm is more effective than the Gibbs sampling and EM algorithm.

• 出版日期2017
• 单位山东大学