34 citations · 92 across the 18 of their papers we have counts for
4 papers · 1 filter
Large deviations for method-of-quantiles estimators of one-dimensional parameters
Valeria Bignozzi, Claudio Macci, Lea Petrella
We consider method-of-quantiles estimators of unknown parameters, namely the analogue of method-of-moments estimators obtained by matching empirical and theoretical quantiles at so…
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…
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…
Bayesian Dynamic Quantile Model Averaging
Mauro Bernardi, Roberto Casarin, Bertrand Maillet +1
This article introduces a novel dynamic framework to Bayesian model averaging for time-varying parameter quantile regressions. By employing sequential Markov chain Monte Carlo, we…