Ghislaine Gayraud (Université de Technologie, Compiègne) on "Posterior rates for marginal and conditional quantiles under asymmetric Laplace distribution misspecification"

Speaker:  Ghislaine GAYRAUD - Université de Technologie, Compiègne
  Wednesday, March 1, 2017 at 12:30 PM Polo Santa Marta, Via Cantarane 24, Room 1.59
We derive posterior concentration rates in a bivariate nonparametric quantile regression model with the resort of the Asymmetric Laplace Distribution; the latter leads to a misspecified inferential problem. Applying our general results to the Sobolev and Hôlder class along with a specific prior, we retrieve the well-known optimal (minimax) rates of convergence only for the Sobolev class. We illustrate our theoretical results by simulations.

Programme Director
Catia Scricciolo

Publication date
May 17, 2016