[R] glm with Student t for error distribution
jonas.malmros at gmail.com
Fri Oct 26 10:23:16 CEST 2007
My response variable seems to be distributed according to Student t
with df=4. I have 320 observations and about 20 variables.
I am wondering whether there is a way to fit glm with Student t for
error distribution. Student t is not one of the family choices in glm
How should I proceed to fit glm with Student t?
I know that Student t is the Inverse Gamma with shape parameter equal
to degrees of freedom (=4). Would it be correct then to specify Gamma
family and inverse link in the glm function?
Thank you for your help.
University of Stockholm
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