fabregCI: FAB regression coefficient intervals

In pdhoff/fabCI: FAB Confidence Intervals

Description

Compute the adaptive FAB t-intervals for the coefficients of a regression model.

Usage

fabregCI(y, X, alpha = 0.05, dof = min(50, round(0.5 * (dim(X)[1] -
  dim(X)[2]))), verbose = TRUE)

Arguments

y	a numeric vector of data
X	a design matrix
alpha	the type I error rate, so 1-alpha is the coverage rate
dof	degrees of freedom to use for the t-quantiles (the remainder go to adaptive estimation of the prior)
verbose	logical, print progress or not

Details

This function computes the adaptive FAB confidence interval for each coefficient in a linear regression model.

Value

A matrix where each row corresponds to the interval and OLS estimate of a coefficient.

Author(s)

Peter Hoff

pdhoff/fabCI documentation built on Jan. 18, 2021, 8:39 p.m.