Variance Estimation of Linear Regression Coefficients Using Markov Chain Monte Carlo Simulation
Kianoush Fathi Vajargah, Farshid Mehrdoust, Fatemeh Kamalzadeh · 2012
In this paper, on the basis of Markov chain Monte Carlo method a new way to obtain the variance estimation of linear regression coefficients are presented. The main goal is to find the inverse of matrix X t X which appear in the variance equation of a simple linear regression using Markov chain Monte Carlo simula- tion. Some calculation samples showed the exactitude and efficiency of the propose method.