On Fri, 26 Oct 2007, Jonas Malmros wrote: > Hello, > > 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 > function.
Why should the error distribution be the same as the distribution of the response variable? It almost certainly is not. A linear model with t-distributed errors is not a GLM. There are several ways in R to fit such a model, but you are almost certainly better off using a general robust linear model, e.g. rlm in package MASS. Looking at the residuals from such a fit may give you a reasonable idea of plausible error distributions, if the 'true' model were close to linear in the explanatory variable provided (and no others). > 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). That depends on your definition of 'Inverse Gamma', but that at e.g. http://en.wikipedia.org/wiki/Inverse-gamma_distribution is a distribution on (0, Inf), unlike the t. > Would it be correct then to specify Gamma > family and inverse link in the glm function? No. (I think you need to read up about what a GLM is.) -- Brian D. Ripley, [EMAIL PROTECTED] Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/ University of Oxford, Tel: +44 1865 272861 (self) 1 South Parks Road, +44 1865 272866 (PA) Oxford OX1 3TG, UK Fax: +44 1865 272595 ______________________________________________ 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.
