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Regularized Bayesian quantile regression
Authors:Salaheddine El Adlouni  Garba Salaou  André St-Hilaire
Institution:1. Mathematics and Statistics Department, Universit de Moncton, Moncton, Canadasalah-eddine.el.adlouni@umoncton.ca;3. Mathematics and Statistics Department, Universit de Moncton, Moncton, Canada;4. Centre Eau Terre Environnement, INRS-ETE, Québec, Canada
Abstract:A number of nonstationary models have been developed to estimate extreme events as function of covariates. A quantile regression (QR) model is a statistical approach intended to estimate and conduct inference about the conditional quantile functions. In this article, we focus on the simultaneous variable selection and parameter estimation through penalized quantile regression. We conducted a comparison of regularized Quantile Regression model with B-Splines in Bayesian framework. Regularization is based on penalty and aims to favor parsimonious model, especially in the case of large dimension space. The prior distributions related to the penalties are detailed. Five penalties (Lasso, Ridge, SCAD0, SCAD1 and SCAD2) are considered with their equivalent expressions in Bayesian framework. The regularized quantile estimates are then compared to the maximum likelihood estimates with respect to the sample size. A Markov Chain Monte Carlo (MCMC) algorithms are developed for each hierarchical model to simulate the conditional posterior distribution of the quantiles. Results indicate that the SCAD0 and Lasso have the best performance for quantile estimation according to Relative Mean Biais (RMB) and the Relative Mean-Error (RME) criteria, especially in the case of heavy distributed errors. A case study of the annual maximum precipitation at Charlo, Eastern Canada, with the Pacific North Atlantic climate index as covariate is presented.
Keywords:Asymmetric Laplace distribution  Bayesian inference  B-splines  Lasso  Quantile regression  Ridge  SCAD
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