Shrinkage estimation of fixed and random effects in linear quantile mixed models.

This paper presents a Bayesian analysis of linear mixed models for quantile regression using a modified Cholesky decomposition for the covariance matrix of random effects and an asymmetric Laplace distribution for the error distribution. We consider several novel Bayesian shrinkage approaches for both fixed and random effects in a linear mixed quantile model using extended L 1 penalties. To improve mixing of the Markov chains, a simple and efficient partially collapsed Gibbs sampling algorithm is developed for posterior inference. We also extend the framework to a Bayesian mixed expectile model and develop a Metropolis-Hastings acceptance-rejection (MHAR) algorithm using proposal densities based on iteratively weighted least squares estimation. The proposed approach is then illustrated via both simulated and real data examples. Results indicate that the proposed approach performs very well in comparison to the other approaches.