Model selection in quantile regression models

Lasso methods are regularisation and shrinkage methods widely used for subset selection and estimation in regression problems. From a Bayesian perspective, the Lasso-type estimate can be viewed as a Bayesian posterior mode when specifying independent Laplace prior distributions for the coefficients of independent variables [32]. A scale mixture of normal priors can also provide an adaptive regularisation method and represents an alternative model to the Bayesian Lasso-type model. In this paper, we assign a normal prior with mean zero and unknown variance for each quantile coefficient of independent variable. Then, a simple Markov Chain Monte Carlo-based computation technique is developed for quantile regression (QReg) models, including continuous, binary and left-censored outcomes. Based on the proposed prior, we propose a criterion for model selection in QReg models. The proposed criterion can be applied to classical least-squares, classical QReg, classical Tobit QReg and many others. For example, the proposed criterion can be applied to rq(), lm() and crq() which is available in an R package called Brq. Through simulation studies and analysis of a prostate cancer data set, we assess the performance of the proposed methods. The simulation studies and the prostate cancer data set analysis confirm that our methods perform well, compared with other approaches. © 2014, © 2014 Taylor & Francis.