Department of Statistics Unitmark
Dietrich College of Humanities and Social Sciences

Joint Quantile Regression through Bayesian Semiparametrics

Publication Date

July, 2009

Publication Type

Tech Report

Author(s)

Surya T. Tokdar and Joseph B. Kadane

Abstract

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.