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)
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