Noncrossing simultaneous Bayesian quantile curve fitting (1711.09317v1)

Abstract: Bayesian simultaneous estimation of nonparametric quantile curves is a challenging problem, requiring a flexible and robust data model whilst satisfying the monotonicity or noncrossing constraints on the quantiles. This paper presents the use of the pyramid quantile regression method in the spline regression setting. In high dimensional problems, the choice of the pyramid locations becomes crucial for a robust parameter estimation. In this work we derive the optimal {pyramid locations which then allows us to propose an efficient} adaptive block-update MCMC scheme for posterior computation. Simulation studies show the proposed method provides estimates with significantly smaller errors and better empirical coverage probability when compared to existing alternative approaches. We illustrate the method with three real applications.