A Sandwich Likelihood Correction for Bayesian Quantile Regression based on the Misspecified Asymmetric Laplace Density
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Abstract (arXiv)
A sandwich likelihood correction is proposed to remedy an inferential limitation of the Bayesian quantile regression approach based on the misspecified asymmetric Laplace density, by leveraging the benefits of the approach. Supporting theoretical results and simulations are presented.
Key facts. Cited by 1 paper in the map (data through 14 Oct 2026). First posted on arXiv 23 Feb 2015.
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