报告人

Prof. Keming.Yu

个人网页

http://people.brunel.ac.uk/~mastkky/

报告题目

Bayesian variable selection in quantile regression

地点

明商 0105

报告:Bayesian variable selection in quantile regression

Bayesian econometrics has been adopted widely in current econometrics research. Recent years, Bayesian quantile regression has attracted much attention in the literature. Like standard regression models, there is typically uncertainty in which of the many candidate predictors should be included in a quantile regression model. In order to identify important predictors and to build accurate predictive models, Bayesian methods for variable selection and model averaging are very useful. However, such methods are currently not available for quantile regression. This paper develops Bayesian methods for variable selection in quantile regression, with a simple and efficient stochastic search variable selection (SSVS) algorithm proposed for posterior computation. This approach can be used for moderately high-dimensional variable selection and can accommodate uncertainty in basis function selection in non-linear and additive quantile regression models. The methods are illustrated using simulated data and an application to the Boston housing data.

Journals

(Accepted) Vinciotti, V. and Yu, K., M-quantile Regression Analysis of Temporal Gene Expression Data, Statistical Applications in Genetics and Molecular Biology BURA

(Accepted) Wu, T., Yu, K. and Yu. Y., Single-Index Quantile Regression, Journal of Multivariate Analysis

(2009) Chen, L. and Yu, K., Automatic Bayesian Quantile Regression Curve, Statistics and Computing

(2009) Gannoun, A., Saracco, J. and Yu, K., On Semiparametric Mode Regression Estimation, Communications in Statistics: Theory and Methods

(2009) Hallin, M., Lu, Z. and Yu, K., Local Linear Spatial Quantile Regression, Bernoulli

(2009) Hand, D.J. and Yu, K., Justifying Adverse Actions with New Scorecard Technologies, Journal of Financial Transformation

(2009) Marston, L., Peacock, J.L., Yu, K., Brocklehurst, P., Calvert, S.A,, Greenhough, A. And Marlow, N., Comparing Methods of Analysing Datasets with Small Clusters - Case Studies Using Four Paediatric Datasets,

(2009) Wang, B. and Yu, K., Optimum Plan for Step-Stress Model with Progressive Type-II Censoring, TEST 18 : 115-135

(2009) Yu, K. and Ally, A., Improving Prediction Intervals: Some Elementary Methods, The American Statistician 63 : 17-19

(2009) Yu, Y., Yu, K., Li, M. and Wang, Q., Semiparametric Estimation for Time-Inhomogenous Diffusions, Statistica Sinica 19 : 843-867

(2008) Hewson, P.J. and Yu, K., Quantile Regression for the Investigation of Benefits Administration, Applied Stochastic Models in Business and Industry (ASMBI) 24 (5) : 401-418

(2008) Wu, W., Yu, K. and Mitra, G., Kernel Conditional Quantile Estimation for Stationary Processes with Application to Conditional Value-at-Risk, Journal of Financial Econometrics 6 (2) : 253-270

(2008) Yang, S., Su, C. and Yu, K., A General Method to the Strong Law of Large Numbers and Its Applications, Statistics and Probability Letters 78 : 794-803

(2008) Yu, K., Discussion on "Sure Independence Screening for Ultra-High Dimensional Feature Space" by Fan and Lv, Journal of the Royal Statistical Society - Series B 70 : 901-902

(2007) Feng, Y., Beran, J. and Yu, K., Modelling Financial Time Series with SEMIFAR-GARCH Models, IMA Journal of Management Mathematics 18 : 395-412

(2007) Gannoun, A., Saracco, J. and Yu, K., Comparison of Nonparametric Estimators of Conditional Distribution Function and Quantile Regression Under Censoring for Survival Analysis, Statistical Modelling 7 (4) : 329-344

(2007) Jones, M.C. and Yu, K., Improve Double Kernel Local Linear Quantile Regression, Statistical Modelling 7 : 377-389

(2007) Wang, Q. and Yu, K., Likelihood-Based Kernel Estimation in Semiparametric Errors-in-Covariables Models with Validation Data, Journal of Multivariate Analysis 98 : 455-480

(2007) Yu, K. and Stander, J., Bayesian Analysis of a Tobit Quantile Regression Model, Journal of Econometrics 137 : 260-276 BURA

(2007) Yu, K., Mateu, J. and Porch, E., A Kernel-Based Method for Nonparametric Estimation of Variograms, Statistica Neerlandica 61 : 173-191

(2007) Yu, K., Yang, S. and Gannoun, A., Contribution to the discussion of the paper 'Maximum Likelihood Estimation in Semiparametric Regression Models with Censored Data ' by Zeng and Lin, Journal of the Royal Statistical Society B 69 : 557-558

(2006) Mamon, R. and Yu, K., Contribution to the Discussion of A. Beskos, O. Papaspiliopoulos, G. Roberts and P. Fearnhead - Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes, Journal of the Royal Statistical Society, Series B (Statistical Methodology) 68 (3) : 372-373

(2006) Yu, K. and Mamon, R., Contribution to the discussion of the paper 'Double Hierarchical Generalised Kinear Models' by Y. Lee and J. Nelder, Journal of the Royal Statistical Society, Series C (Applied Statistics) 55 (2) : 139-185

(2006) Zhang, J. and Yu, K., The Null Disribution of the Likelihood-Ratio Test for One or Two Outliers in a Normal Sample, TEST 15 (1) : 141-150

(2005) Yu, K. and Zhang, J., Parameters Estimate for Asymmetric Laplace Distribution Function, Communications in Statistics: Theory and Methods 34 : 1867-1879

(2005) Yu, K., Van Kerm, P. and Zhang, J., Bayesian Quantile Regression: An Application to the Wage Distribution in 1990s Britain, Sankhya 67 (2) : 359-377

(2004) Yu, K. and Jones, M.C., Likelihood-Based Local Linear Estimation of the Conditional Variance Function, Journal of the American Statistical Association 99 : 139-144

(2004) Yu. K. and Lu, Z., Local Linear Additive Quantile Regression, Scandinavian Journal of Statistics 31 : 333-346

(2004) Zhang, J. and Yu, K., The Null Distribution of the Likelihood-Ratio Test for Two Upper Outliers in a Gamma Sample, Journal of Statistical Computation and Simulation 74 (6) : 461-467

(2003) Gannoun, A., Saracco, J. and Yu, K., Nonparametric Time-Series Prediction by Conditional Median and Quantiles, Journal of Statistical Planning and Inference 117 : 207-223

(2003) Yu, K., Lu, Z. and Stander, J., Quantile Regression: Applications and Current Research Area, The Statistician 52 (3) : 331-350

(2002) Yu, K., Quantile Regression Using RJMCMC Approach, Computational Statistics and Data Analysis 40 (2) : 303-315

(2001) Hand, D.J. and Yu, K., Idiot's Bayes - Not So Stupid After All?, International Statistical Review 69 : 385-398

(2001) Yu, K., Contribution to the discussion of the paper 'A Penalized Likelihood Approach to Image Warping' by C.A. Glasbey and K.V. Mardia, Journal of the Royal Statistical Society B 63

(2001) Yu, K. and Moyeed, R.A., Bayesian Quantile Regression, Statistics and Probability Letters 54 : 437-447

Others

(2007) Yu, K., Vinciotti, V., Liu, X. and 't Hoen, P.A.C., Bayesian Median Regression for Temporal Gene Expression Data, CompLife 2007