Kozumi, Hideo; Kobayashi, Genya - Graduate School of Business Administration, Kobe University - 2009
This paper considers quantile regression models using an asymmetric Laplace distribution from a Bayesian point of view …. We develop a simple and efficient Gibbs sampling algorithm for fitting the quantile regression model based on a location … analysis of Tobit quantile regression. The proposed methods are illustrated by both simulated and real data. …