Prior conditioned on scale parameter for Bayesian quantile LASSO and its generalizations

Cai, ZH; Sun, DC

Cai, ZH (corresponding author), East China Normal Univ, Sch Stat, Fac Econ & Management, Shanghai, Peoples R China.

STATISTICS AND ITS INTERFACE, 2021; 14 (4): 459

Abstract

Several undesirable issues exist in the Bayesian quantile LASSO and its two generalizations, quantile group LASSO and bridge quantile regression (Alha......

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