Bayesian quantile regression for single-index models

@article{Hu2013BayesianQR,
  title={Bayesian quantile regression for single-index models},
  author={Yuao Hu and Robert B. Gramacy and H. Lian},
  journal={Statistics and Computing},
  year={2013},
  volume={23},
  pages={437-454}
}
Using an asymmetric Laplace distribution, which provides a mechanism for Bayesian inference of quantile regression models, we develop a fully Bayesian approach to fitting single-index models in conditional quantile regression. In this work, we use a Gaussian process prior for the unknown nonparametric link function and a Laplace distribution on the index vector, with the latter motivated by the recent popularity of the Bayesian lasso idea. We design a Markov chain Monte Carlo algorithm for… 
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