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stat.ME2016
On the Lp-quantiles for the Student t distribution
Mauro Bernardi, Valeria Bignozzi, Lea Petrella
L_p-quantiles represent an important class of generalised quantiles and are defined as the minimisers of an expected asymmetric power function, see Chen (1996). For p=1 and p=2 the…
stat.ME2016
Bayesian Robust Quantile Regression
Mauro Bernardi, Marco Bottone, Lea Petrella
Traditional Bayesian quantile regression relies on the Asymmetric Laplace distribution (ALD) mainly because of its satisfactory empirical and theoretical performances. However, the…