Thanks a lot for your reply!

That is interesting function. And you are completely right. Of course it
may be an overkill to use hpd with lm... But anyway, I am precisely
interested in comparing CI and HPD for a model fitted with lm and then do
the same comparison for the same model fitted with lmrob. I played a little
bit with the bayeslm() you've suggested and I think it pretty much solves
my issue for lm. But what about doing something similar to lmrob? In this
case, as far as I know, there is no similar function. If this is right,
some "manual" solution should be needed, i.e. some code-implementation
using MCMC.

Any ideas on which funcionts/code could help me doing so for lmrob fitted
objects?

Thanks again!

R.


2013/5/8 Ben Bolker <bbolker@gmail.com>

> Richard Asturia <richard.asturia <at> gmail.com> writes:
>
> >
> > Hi!
> >
> > I am trying to calculate HPD for the coeficients of regression models
> > fitted with lm or lmrob in R, pretty much in the same way that can be
> > accomplished by the association of mcmcsamp and HPDinterval functions for
> > multilevel models fitted with lmer. Can anyone point me in the right
> > direction on which packages/how to implement this?
> >
> > Thanks for your time!
> >
> > R.
> >
>
>  Hmmm.
>   At least for lm(), if the assumptions of the model are met
> then the sampling distribution of the parameters should be
> multivariate normal, so with a flat prior the posterior distributions
> should be symmetric and equivalent to the sampling distributions of
> the parameters -- so I think that the highest 95% posterior density
> interval should be equivalent to classical frequentist confidence
> intervals [see confint()].
>
>   You might be interested in the bayeslm() function from the arm
> package.
>
> ______________________________________________
> R-help@r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide
> http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
>

	[[alternative HTML version deleted]]

