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Bayesian inference for quantile regression, expectile regression and M-quantile regression (Venue: GH seminar RM2)

Presented by: 
K Yu [Brunel]
Thursday 9th August 2007 - 09:30 to 10:00
INI Seminar Room 2

Quantile regression, expectile regression and M-quantile regression, including time series based these models, have become popular with wide applications recent years. Based on the author’s recent work on Bayesian quantile regression, this talk will outline nonparametric Bayesian inference quantile regression, including quantile autoregression. Moreover, this talk will introduce the idea of Bayesian expectile regression and M-quantile regression.

Presentation Material: 
University of Cambridge Research Councils UK
    Clay Mathematics Institute London Mathematical Society NM Rothschild and Sons