Learn R Programming

bayesm (version 2.0-9)

rbiNormGibbs: Illustrate Bivariate Normal Gibbs Sampler

Description

rbiNormGibbs implements a Gibbs Sampler for the bivariate normal distribution. Intermediate moves are shown and the output is contrasted with the iid sampler. i This function is designed for illustrative/teaching purposes.

Usage

rbiNormGibbs(initx = 2, inity = -2, rho, burnin = 100, R = 500)

Arguments

initx
initial value of parameter on x axis (def: 2)
inity
initial value of parameter on y axis (def: -2)
rho
correlation for bivariate normals
burnin
burn-in number of draws (def:100)
R
number of MCMC draws (def:500)

Value

  • R x 2 array of draws

concept

  • bayes
  • Gibbs Sampling
  • MCMC
  • normal distribution

Details

(theta1,theta2) ~ N((0,0), Sigma=matrix(c(1,rho,rho,1),ncol=2))

References

For further discussion, see Bayesian Statistics and Marketing by Rossi, Allenby and McCulloch, Chapters 2 and 3. http://faculty.chicagogsb.edu/peter.rossi/research/bsm.html

Examples

Run this code
##
out=rbiNormGibbs(rho=.95)

Run the code above in your browser using DataLab