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I'm looking for a generic MCMC algorithm for a linear model. I've been reading a lot of articles online and they are so confusing. I am hoping to understand how the method works theoretically

Can anybody help me with a step by step algorithm for implementing a MCMC method to estimate beta and variance ($\sigma^2$)?

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You need to add a lot more context – Henry Apr 22 '12 at 13:01
@Henry: I'm looking for a generic MCMC algorithm for a linear model. I've been reading a lot of articles online and they are so confusing. YOu could however make your own assumptions about the distribution. thank you. – Matt Apr 22 '12 at 13:18
There are R packages that will do this automatically (arm is one). – Glen Apr 22 '12 at 14:20
@Glen: Thanks for your response, but I was hoping to understand how the method works theoritically – Matt Apr 22 '12 at 14:32
@Matt: are you talking about understanding how to go about setting up and computing Bayesian inference for a linear regression model? If so, please edit your question to say that, if not, please explain what you mean. – Nick Apr 23 '12 at 0:42

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