Abstract:I thank Yang et al. (2015) (henceforth Yang) for a well-written paper that explores the asymptotic validity of the asymmetric Laplace (AL) distribution in Bayesian quantile regression. Asymptotically, the mode of the posterior distribution of the regression parameters is the maximum likelihood estimator of the AL distribution. Yang use this fact to inform a simple correction to the estimate of the posterior variance that dramatically improves coverage probabilities. Yang convincingly present asymptotic and num… Show more
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