Quantile regression is a class of methods voted to the modelling of conditional quantiles. In a Bayesian framework quantile regression has typically been carried out exploiting the Asymmetric Laplace Distribution as a working likelihood. Despite the fact that this leads to a proper posterior for the regression coefficients, the resulting posterior variance is however affected by an unidentifiable parameter, hence any inferential procedure beside point estimation is unreliable. We propose a model-based approach for quantile regression that considers quantiles of the generating distribution directly, and thus allows for a proper uncertainty quantification. We then create a link between quantile regression and generalised linear models by mapping the quantiles to the parameter of the response variable, and we exploit it to fit the model with R-INLA. We extend it also in the case of discrete responses, where there is no 1-to-1 relationship between quantiles and distribution's parameter, by introducing continuous generalisations of the most common discrete variables (Poisson, Binomial and Negative Binomial) to be exploited in the fitting.
Model-based Quantile Regression for Discrete Data / Padellini, Tullia; Rue, Haavard. - (2018).
Model-based Quantile Regression for Discrete Data
Tullia Padellini
;
2018
Abstract
Quantile regression is a class of methods voted to the modelling of conditional quantiles. In a Bayesian framework quantile regression has typically been carried out exploiting the Asymmetric Laplace Distribution as a working likelihood. Despite the fact that this leads to a proper posterior for the regression coefficients, the resulting posterior variance is however affected by an unidentifiable parameter, hence any inferential procedure beside point estimation is unreliable. We propose a model-based approach for quantile regression that considers quantiles of the generating distribution directly, and thus allows for a proper uncertainty quantification. We then create a link between quantile regression and generalised linear models by mapping the quantiles to the parameter of the response variable, and we exploit it to fit the model with R-INLA. We extend it also in the case of discrete responses, where there is no 1-to-1 relationship between quantiles and distribution's parameter, by introducing continuous generalisations of the most common discrete variables (Poisson, Binomial and Negative Binomial) to be exploited in the fitting.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.