rmultiregfp: Draw from the Posterior of a Multivariate Regression
Description
rmultiregfp draws from the posterior of a Multivariate Regression model with a natural conjugate
prior.
Usage
rmultiregfp(Y, X, Fparm)
Arguments
Y
n x m matrix of observations on m dep vars
X
n x k matrix of observations on indep vars (supply intercept)
Fparm
a list of prior parameters prepared by init.rmultiregfp
Value
A list of the components of a draw from the posterior
Bdraw of regression coefficient matrix
Sigmadraw of $Sigma$
Warning
This routine is a utility routine that does not check the
input arguments for proper dimensions and type.
Details
Model: $Y=XB+U$. $cov(u_i) = Sigma$. $B$ is k x m matrix of coefficients.
$Sigma$ is an m x m covariance matrix.
Priors: $beta$ given $Sigma$ $\sim$ $N(betabar,Sigma (x) A^{-1})$.
$betabar=vec(Bbar)$; $beta = vec(B)$.
$Sigma$ $\sim$ IW(nu,V).
prepare Fparm by call init.rmultiregfp
References
For further discussion, see Bayesian Statistics and Marketing
by Allenby, McCulloch, and Rossi.
http://gsbwww.uchicago.edu/fac/peter.rossi/research/bsm.html