rbiNormGibbs {bayesm} | R Documentation |
rbiNormGibbs
implements a Gibbs Sampler for the bivariate normal distribution.
Intermediate moves are shown and the output is contrasted with the iid sampler. i
This function is designed for illustrative/teaching purposes.
rbiNormGibbs(initx = 2, inity = -2, rho, burnin = 100, R = 500)
initx |
initial value of parameter on x axis (def: 2) |
inity |
initial value of parameter on y axis (def: -2) |
rho |
correlation for bivariate normals |
burnin |
burn-in number of draws (def:100) |
R |
number of MCMC draws (def:500) |
(theta1,theta2) ~ N((0,0), Sigma=matrix(c(1,rho,rho,1),ncol=2))
R x 2 array of draws
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, Chapters 2 and 3.
http://gsbwww.uchicago.edu/fac/peter.rossi/research/bsm.html
## ## Not run: out=rbiNormGibbs(rho=.95)