MyNixOS website logo
Description

Bayesian Penalized Quantile Regression.

The quantile varying coefficient model is robust to data heterogeneity, outliers and heavy-tailed distributions in the response variable due to the check loss function in quantile regression. In addition, it can flexibly model the dynamic pattern of regression coefficients through nonparametric varying coefficient functions. Although high dimensional quantile varying coefficient model has been examined extensively in the frequentist framework, the corresponding Bayesian variable selection methods have rarely been developed. In this package, we have implemented the Gibbs samplers of the penalized Bayesian quantile varying coefficient model with the spike-and-slab priors [Zhou et al.(2023)]<doi:10.1016/j.csda.2023.107808>. The Markov Chain Monte Carlo (MCMC) algorithms of the proposed and alternative models can be efficiently performed by using the package.

pqrBayes

Bayesian Penalized Quantile Regression

The quantile varying coefficient model is robust to data heterogeneity, outliers and heavy-tailed distributions in the response variable due to the check loss function in quantile regression. In addition, it can flexibly model the dynamic pattern of regression coefficients through nonparametric varying coefficient functions. Although high dimensional quantile varying coefficient model has been examined extensively in the frequentist framework, the corresponding Bayesian variable selection methods have rarely been developed. In this package, we have implemented the Gibbs samplers of the penalized Bayesian quantile varying coefficient model with the spike-and-slab priors [Zhou et al.(2023)]doi.org/10.1016/j.csda.2023.107808. The Markov Chain Monte Carlo (MCMC) algorithms of the proposed and alternative models can be efficiently performed by using the package.

How to install

  • To install from github, run these two lines of code in R
install.packages("devtools")
devtools::install_github("cenwu/pqrBayes")

Methods

This package provides implementation for methods proposed in

  • Zhou, F., Ren, J., Ma, S. and Wu, C. (2023). The Bayesian Regularized Quantile Varying Coefficient Model. {\emph{Computational Statistics & Data Analysis}, 107808} \doi{10.1016/j.csda.2023.107808}
Metadata

Version

1.0.2

License

Unknown

Platforms (75)

    Darwin
    FreeBSD
    Genode
    GHCJS
    Linux
    MMIXware
    NetBSD
    none
    OpenBSD
    Redox
    Solaris
    WASI
    Windows
Show all
  • aarch64-darwin
  • aarch64-genode
  • aarch64-linux
  • aarch64-netbsd
  • aarch64-none
  • aarch64_be-none
  • arm-none
  • armv5tel-linux
  • armv6l-linux
  • armv6l-netbsd
  • armv6l-none
  • armv7a-darwin
  • armv7a-linux
  • armv7a-netbsd
  • armv7l-linux
  • armv7l-netbsd
  • avr-none
  • i686-cygwin
  • i686-darwin
  • i686-freebsd
  • i686-genode
  • i686-linux
  • i686-netbsd
  • i686-none
  • i686-openbsd
  • i686-windows
  • javascript-ghcjs
  • loongarch64-linux
  • m68k-linux
  • m68k-netbsd
  • m68k-none
  • microblaze-linux
  • microblaze-none
  • microblazeel-linux
  • microblazeel-none
  • mips-linux
  • mips-none
  • mips64-linux
  • mips64-none
  • mips64el-linux
  • mipsel-linux
  • mipsel-netbsd
  • mmix-mmixware
  • msp430-none
  • or1k-none
  • powerpc-netbsd
  • powerpc-none
  • powerpc64-linux
  • powerpc64le-linux
  • powerpcle-none
  • riscv32-linux
  • riscv32-netbsd
  • riscv32-none
  • riscv64-linux
  • riscv64-netbsd
  • riscv64-none
  • rx-none
  • s390-linux
  • s390-none
  • s390x-linux
  • s390x-none
  • vc4-none
  • wasm32-wasi
  • wasm64-wasi
  • x86_64-cygwin
  • x86_64-darwin
  • x86_64-freebsd
  • x86_64-genode
  • x86_64-linux
  • x86_64-netbsd
  • x86_64-none
  • x86_64-openbsd
  • x86_64-redox
  • x86_64-solaris
  • x86_64-windows