Search Results for author: Tibor Szendrei

Found 2 papers, 0 papers with code

Decoupling Shrinkage and Selection for the Bayesian Quantile Regression

no code implementations18 Jul 2021 David Kohns, Tibor Szendrei

We propose a new variant of the SAVS which automates the choice of penalisation through quantile specific loss-functions that are valid in high dimensions.

Variable Selection

Horseshoe Prior Bayesian Quantile Regression

no code implementations13 Jun 2020 David Kohns, Tibor Szendrei

The performance of the proposed HS-BQR is evaluated on Monte Carlo simulations and a high dimensional Growth-at-Risk (GaR) forecasting application for the U. S.

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