Bayesian non-crossing quantile regression for regularly varying distributions
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DOI: 10.1080/00949655.2019.1573899
Abstract: ABSTRACT Quantile regression is a very important statistical tool for predictive modelling and risk assessment. For many applications, conditional quantile at different levels are estimated separately. Consequently the monotonicity of conditional quantiles can be violated… read more here.
Keywords: bayesian non; quantile regression; regression; non crossing ... See more keywords