BayesReg {bayess} R Documentation

Bayesian linear regression output

Description

This function contains the R code for the implementation of Zellner's G-prior analysis of the regression model as described in Chapter 3. The purpose of BayesRef is dual: first, this R function shows how easily automated this approach can be. Second, it also illustrates how it is possible to get exactly the same type of output as the standard R function summary(lm(y~X)). In particular, it calculates the Bayes factors for variable selection, more precisely single variable exclusion.

Usage

BayesReg(y, X, g = length(y), betatilde = rep(0, dim(X)[2]), prt = TRUE)


Arguments

 y response variable X matrix of regressors g constant g for the G-prior betatilde prior mean on \beta prt boolean variable for printing out the standard output

Value

 postmeancoeff  posterior mean of the regression coefficients postsqrtcoeff  posterior standard deviation of the regression coefficients log10bf  log-Bayes factors against the full model postmeansigma2 posterior mean of the variance of the model postvarsigma2 posterior variance of the variance of the model

Examples

data(faithful)
BayesReg(faithful[,1],faithful[,2])


[Package bayess version 1.4 Index]