condMom: Computes Conditional Mean/Var of One Element of MVN given All Others
Description
condMom compute moments of conditional distribution of ith element of normal given
all others.
Usage
condMom(x, mu, sigi, i)
Arguments
x
vector of values to condition on - ith element not used
mu
length(x) mean vector
sigi
length(x)-dim covariance matrix
i
conditional distribution of ith element
Value
a list containing:
cmeancond mean
cvarcond variance
concept
normal distribution
conditional distribution
Warning
This routine is a utility routine that does not check the
input arguments for proper dimensions and type.
Details
$x$ $\sim$ $MVN(mu,Sigma)$.
condMom computes moments of $x_i$ given $x_{-i}$.
References
For further discussion, see Bayesian Statistics and Marketing
by Rossi, Allenby and McCulloch.
http://faculty.chicagogsb.edu/peter.rossi/research/bsm.html