Bayesian quantile regression for streaming data

Abstract

<p>Quantile regression has been widely used in many fields because of its robustness and comprehensiveness. However, it remains challenging to perform the quantile regression (QR) of streaming data by a conventional methods, as they are all based on the assumption that the memory can fit all the data. To address this issue, this paper proposes a Bayesian QR approach for streaming data, in which the posterior distribution was updated by utilizing the aggregated statistics of current and historical data. In addition, theoretical results are presented to confirm that the streaming posterior distribution is theoretically equivalent to the orcale posterior distribution calculated using the entire dataset together. Moreover, we provide an algorithmic procedure for the proposed method. The algorithm shows that our proposed method only needs to store the parameters of historical posterior distribution of streaming data. Thus, it is computationally simple and not storage-intensive. Both simulations and real data analysis are conducted to illustrate the good performance of the proposed method.</p>