A Study of the Half-Cauchy-Exponential Prior in Quantile Regression
DOI:
https://doi.org/10.29304/jqcsm.2023.15.41352Keywords:
Quantile Regression, Half-Cauchy Distribution, Exponential distributionAbstract
A modification of the familiar half-Cauchy prior is considered. The modification consists of writing the half-Cauchy prior as the product of the gamma and inverse gamma distributions plus adding an exponential distribution on the scale parameter. Furthermore, we consider this model in the setting of the quantile regression structure. Additionally, The Gibbs sampler is calculated for this model. Finally, the properties of this model are demonstrated using simulated data and it is shown that this method performs very well compared to other distributions.
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Copyright (c) 2024 Mohammed Obayes Kadhim, Ahmed Alhamzawi
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