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Fully Bayesian Estimation of Simultaneous Regression Quantiles under Asymmetric Laplace Distribution Specification

In this paper, we are interested in estimating several quantiles simultaneously in a regression context via the Bayesian approach. Assuming that the error term has an asymmetric Laplace distribution and using the relation between two distinct quantiles of this distribution, we propose a simple fully Bayesian method that satisfies the noncrossing property of quantiles. For implementation, we use Metropolis-Hastings within Gibbs algorithm to sample unknown parameters from their full conditional distribution. The performance and the competitiveness of the underlying method with other alternatives are shown in simulated examples.