Power Prior Elicitation in Bayesian Quantile Regression
Rahim Alhamzawi, Keming Yu · Journal of Probability and Statistics · 2010
We address a quantile dependent prior for Bayesian quantile regression. We extend the idea of the power prior distribution in Bayesian quantile regression by employing the likelihood function that is based on a location‐scale mixture representation of the asymmetric Laplace distribution. The propriety of the power prior is one of the critical issues in Bayesian analysis. Thus, we discuss the propriety of the power prior in Bayesian quantile regression. The methods are illustrated with both simulation and real data.