Bayesian variable selection in binary quantile regression

Man Suk Oh; Eun Sug Park; Beong Soo So

doi:10.1016/j.spl.2016.07.001

Bayesian variable selection in binary quantile regression

Man Suk Oh, Eun Sug Park, Beong Soo So

Department of Statistics

Research output: Contribution to journal › Article › peer-review

9 Scopus citations

Abstract

We propose a simple Bayesian variable selection method in binary quantile regression. Our method computes the Bayes factors of all candidate models simultaneously based on a single set of MCMC samples from a model that encompasses all candidate models. The method deals with multicollinearity problems and variable selection under constraints.

Original language	English
Pages (from-to)	177-181
Number of pages	5
Journal	Statistics and Probability Letters
Volume	118
DOIs	https://doi.org/10.1016/j.spl.2016.07.001
State	Published - 1 Nov 2016

Bibliographical note

Funding Information:
This research was supported by the Basic Science Research Program through the National Research Foundation of Korea (NRF) funded by the Ministry of Education, Science and Technology ( 2013R1A1A2005481 ).

Publisher Copyright:
© 2016

Keywords

Bayes factor
Bayesian model selection
Markov chain Monte Carlo
Quantile regression

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10.1016/j.spl.2016.07.001

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abstract = "We propose a simple Bayesian variable selection method in binary quantile regression. Our method computes the Bayes factors of all candidate models simultaneously based on a single set of MCMC samples from a model that encompasses all candidate models. The method deals with multicollinearity problems and variable selection under constraints.",

keywords = "Bayes factor, Bayesian model selection, Markov chain Monte Carlo, Quantile regression",

author = "Oh, \{Man Suk\} and Park, \{Eun Sug\} and So, \{Beong Soo\}",

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AU - Park, Eun Sug

AU - So, Beong Soo

N1 - Funding Information: This research was supported by the Basic Science Research Program through the National Research Foundation of Korea (NRF) funded by the Ministry of Education, Science and Technology ( 2013R1A1A2005481 ). Publisher Copyright: © 2016

PY - 2016/11/1

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KW - Bayes factor

KW - Bayesian model selection

KW - Markov chain Monte Carlo

KW - Quantile regression

UR - https://www.scopus.com/pages/publications/84979633670

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DO - 10.1016/j.spl.2016.07.001

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VL - 118

SP - 177

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JO - Statistics and Probability Letters

JF - Statistics and Probability Letters

ER -

Bayesian variable selection in binary quantile regression

Abstract

Bibliographical note

Keywords

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