fabregCI {fabCI}

FAB regression coefficient 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