init.rmultiregfp {bayesm}R Documentation

Initialize Variables for Multivariate Regression Draw

Description

init.rmultiregfp initializes variables which can be pre-computed for draws from the posterior of a multivariate regression model. init.rmultiregfp should be called prior to use of rmultiregfp

Usage

init.rmultiregfp(X, A, Bbar, nu, V)

Arguments

X Design matrix
A Prior Precision matrix (m x k)
Bbar Prior mean matrix (m x k)
nu degrees of freedom parmeter for Sigma prior
V location parameter for Sigma prior

Details

model: Y = XB + U. u_i ~ N(0,Σ). u_i is the ith row of U. Y is n x m. X is n x k. B is k x m.

priors: vec(B) ~ N(vec(Bbar,Σ (x) A^{-1})
Σ ~ IW(nu,V).

Value

A list containing ...

IR Inverse of Cholesky Root of (X'X + A)
RA Cholesky root of A
RABbar RA %*% Bbar
nu d.f. parm for IWishart prior
V location matrix for IWishart prior

Author(s)

Peter Rossi, Graduate School of Business, University of Chicago, Peter.Rossi@ChicagoGsb.edu.

References

For further discussion, see Bayesian Statistics and Marketing by Allenby, McCulloch, and Rossi, Chapter 2.
http://gsbwww.uchicago.edu/fac/peter.rossi/research/bsm.html

See Also

rmultiregfp


[Package bayesm version 1.1-1 Index]