li_reg: Asymmetric Laplace Working Likelihood For Linear Quantile...
In AdjBQR: Adjusted Bayesian Quantile Regression Inference

Description Usage Arguments Details Value References

Asymmetric Laplace Working Likelihood For Linear Quantile Regression

1	li_reg(pars, y, x, tau, sig)

`pars`	regression coefficient vector
`y`	the response vector
`x`	the design matrix with one in the first column corresponding to the intercept
`tau`	the quantile level
`sig`	scale parameter sigma

The asymmetric Laplace working likelihood is proportional to exponential of the negative quantile objective function for linear quantile regression

the working log (asymmetric Laplace) likelihood function (the part involving the regression coefficients)

Yang, Y., Wang, H. and He, X. (2015). Posterior inference in Bayesian quantile regression with asymmetric Laplace likelihood. International Statistical Review, 2015. doi: 10.1111/insr.12114.

AdjBQR documentation built on May 1, 2019, 10:26 p.m.