Papers › On Bayesian quantile regression and outliers
On Bayesian quantile regression and outliers
Bruno Santos, Heleno Bolfarine
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In this work we discuss the progress of Bayesian quantile regression models since their first proposal and we discuss the importance of all parameters involved in the inference process. Using a representation of the asymmetric Laplace distribution as a mixture of a normal and an exponential distribution, we discuss the relevance of the presence of a scale parameter to control for the variance in the model. Besides that we consider the posterior distribution of the latent variable present in the mixture representation to showcase outlying observations given the Bayesian quantile regression fits, where we compare the posterior distribution for each latent variable with the others. We illustrate these results with simulation studies and also with data about Gini indexes in Brazilian states from years with census information.
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