Nonparametric hierarchical Bayesian quantiles


Shephard, Neil, Luke Bornn, and Reza Solgi. Working Paper. Nonparametric hierarchical Bayesian quantiles.
quantile20170626.pdf1.23 MB


Here we develop a method for performing nonparametric Bayesian inference on quantiles.
Relying on geometric measure theory and employing a Hausdor base measure, we are able to specify meaningful priors for the quantile while treating the distribution of the data otherwise nonparametrically. We further extend the method to a hierarchical model for quantiles of subpopulations, linking subgroups together solely through their quantiles. Our approach is computationally straightforward, allowing for censored and noisy data. We demonstrate the proposed methodology on simulated data and an applied problem from sports statistics, where it is observed to stabilize and improve inference and prediction.