Code covered by the BSD License
5.0
by Willem-Jan de Goeij
11 Aug 2009 (Updated 16 Aug 2009)
Estimates a Student's t regression model
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Estimates a Student's t regression model:
y = X*beta + eps where eps ~ Student's t (0, sigma, nu).
with nu > 2.
Parameters are estimated with maximum likelihood.
This is an interesting form of robust regression. I checked the likelihood function, and it looks correct.
Added the restriction nu > 2.
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