Journal of Probability and Statistics
Volume 2011 (2011), Article ID 874907, 16 pages
doi:10.1155/2011/874907
Research Article

Power Prior Elicitation in Bayesian Quantile Regression

Department of Mathematical Sciences, Brunel University, Uxbridge UBB 3PH, UK

Received 12 February 2010; Accepted 1 November 2010

Academic Editor: Tomasz J. Kozubowski

Copyright © 2011 Rahim Alhamzawi and Keming Yu. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

Abstract

We address a quantile dependent prior for Bayesian quantile regression. We extend the idea of the power prior distribution in Bayesian quantile regression by employing the likelihood function that is based on a location-scale mixture representation of the asymmetric Laplace distribution. The propriety of the power prior is one of the critical issues in Bayesian analysis. Thus, we discuss the propriety of the power prior in Bayesian quantile regression. The methods are illustrated with both simulation and real data.