A Sandwich Likelihood Correction for Bayesian Quantile Regression based on the Misspecified Asymmetric Laplace Density

  title={A Sandwich Likelihood Correction for Bayesian Quantile Regression based on the Misspecified Asymmetric Laplace Density},
  author={Karthik Sriram},
  journal={Statistics \& Probability Letters},
  • Karthik Sriram
  • Published 23 February 2015
  • Mathematics
  • Statistics & Probability Letters
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. 

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