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Joint Quantile Regression through Bayesian Semiparametrics

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journal contribution
posted on 28.10.2004, 00:00 authored 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.


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