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bbqr  

Bayesian Quantile Regression with Lasso and Adaptive Lasso
View on CRAN: Click here


Download and install bbqr package within the R console
Install from CRAN:
install.packages("bbqr")

Install from Github:
library("remotes")
install_github("cran/bbqr")

Install by package version:
library("remotes")
install_version("bbqr", "0.1.0")



Attach the package and use:
library("bbqr")
Maintained by
Fernando Rubio Garcia
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2026-09-08
Latest Update: 2026-09-08
Description:
Markov chain Monte Carlo samplers for Bayesian quantile regression, based on the asymmetric Laplace distribution and the location-scale mixture representation of Kozumi and Kobayashi (2011) <doi:10.1080/00949655.2010.496117>. A binary response and an observed continuous response are both supported, each with three penalty layers behind one interface: no penalty, following Benoit and Van den Poel (2012) <doi:10.1002/jae.1216>; the Bayesian lasso, following Benoit, Al-Hamzawi and Yu (2013) <doi:10.1007/s00180-013-0439-0>; and the Bayesian adaptive lasso of Rubio Garcia (2023) <https://soar.wichita.edu/entities/publication/a2f86232-4704-4ec2-b685-751e7b04ec42>. In the binary family each is available as published and in a corrected form, the default, in which every improper prior component is replaced by a proper one so that the posterior exists unconditionally; the continuous family ships the corrected form only. The continuous adaptive-lasso layer at its default reproduces the penalty of Alhamzawi, Yu and Benoit (2012) <doi:10.1177/1471082X1101200304>. A binary threshold model identifies the coefficient vector only up to a positive scale, so the binary samplers expose the identification anchor as an explicit argument, allowing fixing the scale of the error distribution, fixing a single coefficient, and constraining the norm of the coefficient vector to be compared directly; an observed response identifies the scale, so the continuous samplers have no anchor and draw it every sweep. The MCMC cores are written in Fortran and called from R.
How to cite:
Fernando Rubio Garcia (2026). bbqr: Bayesian Quantile Regression with Lasso and Adaptive Lasso. R package version 0.1.0, https://cran.r-project.org/web/packages/bbqr. Accessed 04 Oct. 2026.
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