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QJAE

Al-Qadisiyah Journal for Administrative and Economic Sciences

You are here: Home / Articles / Bayesian Estimation for Single Index Quantile Regression with Normal Scale Mixture

Bayesian Estimation for Single Index Quantile Regression with Normal Scale Mixture

  • Publisher: Al-Qadisiyah Journal for Administrative and Economic Sciences
  • Available in: PDF
  • DOI: 10.33961/21.4.2019/11-21
  • Published: May 18, 2021
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Bayesian Estimation for Single Index Quantile Regression with
Normal Scale Mixture
Taha Hussein Alshaybawee
Samer Jassim Alalaq
Department of Statistics , College of Administration and Economics, University of Al-Qadisiyah, Al Diwaniyah, Iraq

Corresponding Author: Taha Hussein Alshaybawee Samer Jassim Alalaq
Abstract : In this paper, the new Bayesian approach based on normal scale mixture is proposed for estimating the
quantile regression of the single index model and selecting variables. The Gaussian process prior have been
considered to the nonparametric link function. Bayesian hierarchical model construct and Gibbs sampler
algorithm using for posterior inference. Simulation study was addressed to compare our suggested method with
three other existing methods. The simulation studies significant that the new suggested method offers substantial
improvement over the other three methods.
Keyword: Quantile regression, single index model, Bayesian inference, normal scale mixture
.

 

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Series: Volume 21 Issue 4 (2019)

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