Before revision: This paper extends the horseshoe prior of Carvalho et al. (2010) to the Bayesian quantile regression (HS-BQR) and provides a fast sampling algorithm that speeds up computation significantly in high dimensions.
After revision: This paper extends the horseshoe prior of Carvalho et al. (2010) to the Bayesian quantile regression (HS-BQR) and provides a fast sampling algorithm for computation in high dimensions.