rbiNormGibbs {bayesm}R Documentation

Illustrate Bivariate Normal Gibbs Sampler

Description

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.

Usage

rbiNormGibbs(initx = 2, inity = -2, rho, burnin = 100, R = 500)

Arguments

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)

Details

(theta1,theta2) ~ N((0,0), Sigma=matrix(c(1,rho,rho,1),ncol=2))

Value

R x 2 array of draws

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 Rossi, Allenby and McCulloch, Chapters 2 and 3.
http://gsbwww.uchicago.edu/fac/peter.rossi/research/bsm.html

Examples

##
## Not run:  out=rbiNormGibbs(rho=.95) 

[Package bayesm version 2.0-5 Index]