相关论文: Valid standard errors for Bayesian quantile regres…

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,…

Forecast combination methods have traditionally emphasized symmetric loss functions, particularly squared error loss, with equally weighted combinations often justified as a robust approach under such criteria. However, these justifications…

The Laplace approximation is a popular method for constructing a Gaussian approximation to the Bayesian posterior and thereby approximating the posterior mean and variance. But approximation quality is a concern. One might consider using…

Jackknife empirical likelihood (JEL) is an effective modified version of empirical likelihood method (EL). Through the construction of the jackknife pseudo-values, JEL overcomes the computational difficulty of EL method when its constraints…

Though introduced nearly 50 years ago, the infinitesimal jackknife (IJ) remains a popular modern tool for quantifying predictive uncertainty in complex estimation settings. In particular, when supervised learning ensembles are constructed…

We propose a method to improve the efficiency and accuracy of amortized Bayesian inference by leveraging universal symmetries in the joint probabilistic model of parameters and data. In a nutshell, we invert Bayes' theorem and estimate the…

The paper introduces an estimation method for flexible Bayesian quantile regression in ordinal (FBQROR) models i.e., an ordinal quantile regression where the error follows a generalized asymmetric Laplace (GAL) distribution. The GAL…

We develop a jackknife empirical likelihood (JEL) framework for inference on parameters defined through multivariate three-sample U-statistic. From three independent multivariate samples, we construct JEL ratio statistic based on suitable…

We study the variability of predictions made by bagged learners and random forests, and show how to estimate standard errors for these methods. Our work builds on variance estimates for bagging proposed by Efron (1992, 2012) that are based…

We propose the so-called jackknife empirical likelihood approach for the survey data of general unequal probability sampling designs, and analyze parameters defined according to U-statistics. We prove theoretically that jackknife…

In this article, we develop a semiparametric Bayesian estimation and model selection approach for partially linear additive models in conditional quantile regression. The asymmetric Laplace distribution provides a mechanism for Bayesian…

Mixed-effects quantile regression models are widely used to capture heterogeneous responses in hierarchically structured data. The asymmetric Laplace (AL) distribution has traditionally served as the basis for quantile regression; however,…

We develop quantile regression models in order to derive risk margin and to evaluate capital in non-life insurance applications. By utilizing the entire range of conditional quantile functions, especially higher quantile levels, we detail…

Value-at-Risk (VaR) and Expected Shortfall (ES) are widely used in the financial sector to measure the market risk and manage the extreme market movement. The recent link between the quantile score function and the Asymmetric Laplace…

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…

The error or variability of machine learning algorithms is often assessed by repeatedly re-fitting a model with different weighted versions of the observed data. The ubiquitous tools of cross-validation (CV) and the bootstrap are examples…

Implementing Bayesian inference is often computationally challenging in applications involving complex models, and sometimes calculating the likelihood itself is difficult. Synthetic likelihood is one approach for carrying out inference…

We develop a Bayesian median autoregressive (BayesMAR) model for time series forecasting. The proposed method utilizes time-varying quantile regression at the median, favorably inheriting the robustness of median regression in contrast to…

Generalized linear models (GLMs) -- such as logistic regression, Poisson regression, and robust regression -- provide interpretable models for diverse data types. Probabilistic approaches, particularly Bayesian ones, allow coherent…

Quantiles are useful characteristics of random variables that can provide substantial information on distributions compared with commonly used summary statistics such as means. In this paper, we propose a Bayesian quantile trend filtering…