Jeffreys’ Substitution Posterior for the Median: A Nice Trick to Non-parametrically Estimate the Median
While reading up on quantile regression I found a really nice hack described in Bayesian Quantile Regression Methods (Lancaster & Jae Jun, 2010). It is called Jeffreys’ substitution posterior for the median, first described by Harold Jeffreys in his Theory of Probability, and is a non-parametric method for approximating the posterior of ... [Read more...]