Gibbs sampling for a robust regression model
Implements Gibbs sampling for a robust t sampling model with location mu, scale sigma, and degrees of freedom v
robustt(y,v,m)
y |
vector of data values |
v |
degrees of freedom for t model |
m |
the number of cycles of the Gibbs sampler |
mu |
vector of simulated values of mu |
s2 |
vector of simulated values of sigma2 |
lam |
matrix of simulated draws of lambda, where each row corresponds to a single draw |
Jim Albert
data=c(-67,-48,6,8,14,16,23,24,28,29,41,49,67,60,75) fit=robustt(data,4,1000)
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