init.rmultiregfp {bayesm} | R Documentation

## 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 `rmultiregfp`

### Usage

    init.rmultiregfp(X, A, Bbar, nu, V)

### Arguments

`X` | Design matrix
`A` | Prior Precision matrix (m x k)
`Bbar` | Prior mean matrix (m x k)
`nu` | degrees of freedom parmeter for Sigma prior
`V` | location parameter for Sigma prior

### Details

model: Y = XB + U. u_i ~ N(0,Σ). 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) ~ N(vec(Bbar,Σ (x) A^{-1})
Σ ~ IW(nu,V).

### Value

A list containing ...

`IR` | Inverse of Cholesky Root of (X'X + A)
`RA` | Cholesky root of A
`RABbar` | RA %*% Bbar
`nu` | d.f. parm for IWishart prior
`V` | location matrix for IWishart prior

### Author(s)

Peter Rossi, Graduate School of Business, University of Chicago, Peter.Rossi@ChicagoGsb.edu.

### References

For further discussion, see Bayesian Statistics and Marketing by Rossi, Allenby and McCulloch, Chapter 2.
http://gsbwww.uchicago.edu/fac/peter.rossi/research/bsm.html

### See Also

`rmultiregfp`

[Package bayesm version 2.0-8 Index]