momMix {bayesm}R Documentation

Compute Posterior Expectation of Normal Mixture Model Moments

Description

momMix averages the moments of a normal mixture model over MCMC draws.

Usage

momMix(probdraw, compdraw)

Arguments

probdraw R x ncomp list of draws of mixture probs
compdraw list of length R of draws of mixture component moments

Details

R is the number of MCMC draws in argument list above.
ncomp is the number of mixture components fitted.
compdraw is a list of lists of lists with mixture components.
compdraw[[i]] is ith draw.
compdraw[[i]][[j]][[1]] is the mean parameter vector for the jth component, ith MCMC draw.
compdraw[[i]][[j]][[2]] is the UL decomposition of Sigma^{-1} for the jth component, ith MCMC draw.

Value

a list of the following items ...

mu Posterior Expectation of Mean
sigma Posterior Expecation of Covariance Matrix
sd Posterior Expectation of Vector of Standard Deviations
corr Posterior Expectation of Correlation Matrix

Warning

This routine is a utility routine that does not check the input arguments for proper dimensions and type.

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, Chapter 5.
http://faculty.chicagogsb.edu/peter.rossi/research/bsm.html

See Also

rmixGibbs


[Package bayesm version 2.1-2 Index]