rmultiregfp {bayesm} | R Documentation |
rmultiregfp
draws from the posterior of a Multivariate Regression model with a natural conjugate
prior.
rmultiregfp(Y, X, Fparm)
Y |
n x m matrix of observations on m dep vars |
X |
n x k matrix of observations on indep vars (supply intercept) |
Fparm |
a list of prior parameters prepared by init.rmultiregfp |
Model: Y=XB+U. cov(u_i) = Sigma. B is k x m matrix of coefficients. Sigma is an m x m covariance matrix.
Priors: beta given Sigma ~ N(betabar,Sigma (x) A^{-1}).
betabar=vec(Bbar); beta = vec(B).
Sigma ~ IW(nu,V).
prepare Fparm by call init.rmultiregfp
A list of the components of a draw from the posterior
B |
draw of regression coefficient matrix |
Sigma |
draw of Sigma |
This routine is a utility routine that does not check the input arguments for proper dimensions and type.
Peter Rossi, Graduate School of Business, University of Chicago, Peter.Rossi@ChicagoGsb.edu.
For further discussion, see Bayesian Statistics and Marketing
by Rossi, Allenby and McCulloch.
http://gsbwww.uchicago.edu/fac/peter.rossi/research/bsm.html