Compute the adaptive FAB t-intervals for the coefficients of a regression model.
fabregCI(y, X, alpha = 0.05, dof = min(50, round(0.5 * (dim(X)[1] -
dim(X)[2]))), verbose = TRUE)A matrix where each row corresponds to the interval and OLS estimate of a coefficient.
a numeric vector of data
a design matrix
the type I error rate, so 1-alpha is the coverage rate
degrees of freedom to use for the t-quantiles (the remainder go to adaptive estimation of the prior)
logical, print progress or not
Peter Hoff
This function computes the adaptive FAB confidence interval for each coefficient in a linear regression model.