Date of Award
Master of Arts (AM/MA)
Quantile regression (QR) (Koenker and Bassett, 1978), is an alternative to classic lin- ear regression with extensive applications in many fields. This thesis studies Bayesian quantile regression (Yu and Moyeed, 2001) using variational inference, which is one of the alternative methods to the Markov chain Monte Carlo (MCMC) in approximating intractable posterior distributions. The lasso regularization is shown to be effective in improving the accuracy of quantile regression (Li and Zhu, 2008). This thesis developed variational inference for quantile regression and regularized quantile regression with the lasso penalty. Simulation results show that variational inference is a computationally more efficient alternative to the MCMC, while providing a comparable accuracy.
Chair and Committee
Nan lin Jose Figueroa-Lopez
Guo, Bufei, "Variational Inference for Quantile Rgression" (2019). Arts & Sciences Electronic Theses and Dissertations. 1743.
Permanent URL: https://doi.org/10.7936/k4y8-5b48