I've been using R's
lm to do some linear regression, but decided to give
MCMCregress a try to get a feel for how it works. As expected, I got basically the same coefficients, but the extra
sigma2 value puzzles me.
When I do a
qqmath plot of the coefficients, I get the following graph, and I'm puzzled by the sigma2 plot. It's obviously not linear, but I'm not sure if that's meaningful in this context. I assume it's sigma squared, and when I took the square root and plotted it, the line was straighter, but still curved.
I guess my question boils down to: what is sigma2 telling me about the MCMC regression fit, and is a graph of it useful or should I ignore the graph and focus on something else? (All of the diagnostics and graphs I've done on my original
lm fit seem to indicate that the fit is good, so I'm also wondering if the MCMC regression gives me more information or not.)
(If I need to provide the actual data, I can. I'm hoping that an answer depends more on what sigma2 is rather than on specific values.)