Joint Quantile Regression through Bayesian Semiparametrics

2004-10-28T00:00:00Z (GMT) by Surya T. Tokdar Joseph B. Kadane

We introduce a Bayesian semiparametric methodology for joint quantile regression with linearity and piecewise linearity constraints. We develop a probability model for all quantile curves in a continuum that define a coherent sampling distribution of the response variable. We provide a detailed illustration of model fitting and inference by analyzing wind speed trends of tropical cyclones in the North Atlantic.