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bayesm (version 2.0-9)

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 Rossi, Allenby and McCulloch. http://faculty.chicagogsb.edu/peter.rossi/research/bsm.html

See Also

rmultireg,init.rmultiregfp