runiregGibbs {bayesm} | R Documentation |
runiregGibbs
implements a Gibbs Sampler to draw from posterior of a univariate regression with a conditionally conjugate prior.
runiregGibbs(Data, Prior, Mcmc)
Data |
list(y,X) |
Prior |
list(betabar,A, nu, ssq) |
Mcmc |
list(sigmasq,R,keep) |
Model: y = Xbeta + e. e ~ N(0,sigmasq).
Priors: beta ~ N(betabar,A^{-1}). sigmasq ~ (nu*ssq)/chisq_{nu}. List arguments contain
X
y
betabar
A
nu
ssq
R
keep
list of MCMC draws
betadraw |
R x k array of betadraws |
sigmasqdraw |
R vector of sigma-sq 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, Chapter 3.
http://faculty.chicagogsb.edu/peter.rossi/research/bsm.html
if(nchar(Sys.getenv("LONG_TEST")) != 0) {R=1000} else {R=10} set.seed(66) n=100 X=cbind(rep(1,n),runif(n)); beta=c(1,2); sigsq=.25 y=X%*%beta+rnorm(n,sd=sqrt(sigsq)) Data1=list(y=y,X=X); Mcmc1=list(R=R) out=runiregGibbs(Data=Data1,Mcmc=Mcmc1) cat("Summary of beta and Sigma draws",fill=TRUE) summary(out$betadraw,tvalues=beta) summary(out$sigmasqdraw,tvalues=sigsq) if(0){ ## plotting examples plot(out$betadraw) }