init.rmultiregfp: Initialize Variables for Multivariate Regression Draw
Description
init.rmultiregfp initializes variables which can be pre-computed
for draws from the posterior of a multivariate regression model.
init.rmultiregfp should be called prior to use of rmultiregfpUsage
init.rmultiregfp(X, A, Bbar, nu, V)
Arguments
A
Prior Precision matrix (m x m)
Bbar
Prior mean matrix (m x k)
nu
degrees of freedom parmeter for Sigma prior
V
location parameter for Sigma prior
Value
- A list containing ...
- IRInverse of Cholesky Root of $(X'X + A)$
- RACholesky root of A
- RABbarRA %*% Bbar
- nud.f. parm for IWishart prior
- Vlocation matrix for IWishart prior
Details
model: $Y = XB + U$. $u_i$ $\sim$ $N(0,\Sigma)$. $u_i$ is the ith row of U. $Y$ is n x m. $X$ is n x k. $B$ is k x m.
priors: $vec(B)$ $\sim$ $N(vec(Bbar,\Sigma (x) A^{-1})$
$\Sigma$ $\sim$ $IW(nu,V)$.References
For further discussion, see Bayesian Statistics and Marketing
by Rossi, Allenby and McCulloch, Chapter 2.
http://faculty.chicagogsb.edu/peter.rossi/research/bsm.html