Fadel Hamid Hadi Alhusseini
Department of Statistics and Informatics, University of Craiova, Romania
Taha al Shaybawee
Faculty of Economics and Business Administration, Al-Qadiseya University, Iraq
Fedaa Abd Almajid Sabbar Alaraje
Department of accounting, University of Craiova, Romania
Abstract
In this paper, we propose a new algorithm to determine the relative importance of covariates by Bayesian Lasso quantile regression for variable selection assigning new formula of Laplace distributions for the regression parameters. Simple and efficient Markov chain Monte Carlo (M.C.M.C) algorithm was introduced for Bayesian sampler. Simulation approaches and two real data set are used to assess the performance of the proposed method. Both simulated and real data sets show that the performs of the proposed method is quite good for Identify Relative importance of covariates.
Keywords: Bayesian lasso quantile regression, Prior distributions, posterior distributions, MCMC algorithm, Relative importance
JEL Classification: C21, C11, C52,
