Bayesian quantile regression using the skew exponential power distribution
Traditional Bayesian quantile regression relies on the Asymmetric Laplace (AL) distribution due primarily to its satisfactory empirical and theoretical performances. However, the AL
displays medium tails and it is not suitable for data characterized by strong deviations from the Gaussian hypothesis. An extension of the AL Bayesian quantile regression framework
is proposed to account for fat tails using the Skew Exponential Power (SEP) distribution. Linear and Additive Models (AM) with penalized splines are considered to show the