Bayesian group bridge composite quantile regression

Abstract

Bayesian regularized composite quantile regression (CQR) method with group bridge penalty is adopted to conduct covariate selection and estimation in CQR. MCMC algorithm was improved for posterior inference employing a scale mixture of normal of the asymmetric Laplace distribution (ALD). The suggested algorithm uses priors for the coefficients of regression, which are scale mixtures of multivariate uniform distributions with a particular Gamma distribution as a mixing distribution. Simulation results and analyses of real data show that the suggested MCMC sampler has excellent mixing feature and outperforms the current approaches in terms of prediction accuracy and model selection.