129423 20260217205516.0 doi 10.1007/s11749-023-00895-6 sideral 135633 ART-2024-135633 eng Castillo-Mateo, Jorge Universidad de Zaragoza (orcid)0000-0003-3859-0248 Bayesian joint quantile autoregression 2024 Access copy available to the general public Unrestricted Quantile regression continues to increase in usage, providing a useful alternative to customary mean regression. Primary implementation takes the form of so-called multiple quantile regression, creating a separate regression for each quantile of interest. However, recently, advances have been made in joint quantile regression, supplying a quantile function which avoids crossing of the regression across quantiles. Here, we turn to quantile autoregression (QAR), offering a fully Bayesian version. We extend the initial quantile regression work of Koenker and Xiao (J Am Stat Assoc 101(475):980–990, 2006. https://doi.org/10.1198/016214506000000672) in the spirit of Tokdar and Kadane (Bayesian Anal 7(1):51–72, 2012. https://doi.org/10.1214/12-BA702). We offer a directly interpretable parametric model specification for QAR. Further, we offer a pth-order QAR(p) version, a multivariate QAR(1) version, and a spatial QAR(1) version. We illustrate with simulation as well as a temperature dataset collected in Aragón, Spain. info:eu-repo/grantAgreement/ES/DGA/E46-20R info:eu-repo/grantAgreement/ES/MICINN/PID2020-116873GB-I00 info:eu-repo/grantAgreement/EUR/MICINN/TED2021-130702B-I00 info:eu-repo/semantics/openAccess by https://creativecommons.org/licenses/by/4.0/deed.es 1.3 2024 STATISTICS & PROBABILITY 71 / 169 = 0.42 2024 Q2 T2 0.505 2024 Statistics and Probability 2024 Q2 Statistics, Probability and Uncertainty 2024 Q3 2.0 2024 info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion Gelfand, Alan E. Asín, Jesús Universidad de Zaragoza (orcid)0000-0002-0174-789X Cebrián, Ana C. Universidad de Zaragoza (orcid)0000-0002-9052-9674 Abaurrea, Jesús (orcid)0000-0002-7974-7435 2007 265 Universidad de Zaragoza Dpto. Métodos Estadísticos Área Estadís. Investig. Opera. 33 (2024), 335–357 Test (Madrid) Test 1133-0686 998539 http://zaguan.unizar.es/record/129423/files/texto_completo.pdf Versión publicada 1137058 http://zaguan.unizar.es/record/129423/files/texto_completo.jpg?subformat=icon icon Versión publicada oai:zaguan.unizar.es:129423 articulos driver 2026-02-17-20:26:52 ARTICLE