A Bayesian Nonparametric Approach to Inference for Quantile Regression

Abstract

We develop a Bayesian method for nonparametric model–based quantile regression. The approach involves flexible Dirichlet process mixture models for the joint distribution of the response and the covariates, with posterior inference for different quantile curves emerging from the conditional response distribution given the covariates. An extension to allow for partially observed responses leads to a novel Tobit quantile regression framework. We use simulated data sets and two data examples from the literature to illustrate the capacity of the model to uncover nonlinearities in quantile regression curves, as well as nonstandard features in the response distribution.