A Gibbs Sampler for Multivariate Linear Regression

  title={A Gibbs Sampler for Multivariate Linear Regression},
  author={Adam B. Mantz},
  journal={Monthly Notices of the Royal Astronomical Society},
  • A. Mantz
  • Published 3 September 2015
  • Mathematics
  • Monthly Notices of the Royal Astronomical Society
Kelly (2007, hereafter K07) described an efficient algorithm, using Gibbs sampling, for performing linear regression in the fairly general case where non-zero measurement errors exist for both the covariates and response variables, where these measurements may be correlated (for the same data point), where the response variable is affected by intrinsic scatter in addition to measurement error, and where the prior distribution of covariates is modeled by a flexible mixture of Gaussians rather… 

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