Shonosuke Sugasawa

Log-regularly varying scale mixture of asymmetric Laplaces for robust Bayesian quantile regression

Bayesian quantile regression based on the asymmetric Laplace (AL) distribution can be sensitive to extreme observations because of its exponentially decaying tails. We propose a robust error distribution constructed as a finite mixture of the AL distribution and a log-Pareto scale mixture of asymmetric Laplace distribu...