rmultiregfp {bayesm} | R Documentation

## 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`

### 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 ~ N(betabar,Sigma (x) A^{-1}). betabar=vec(Bbar); beta = vec(B).
Sigma ~ IW(nu,V).

prepare Fparm by call `init.rmultiregfp`

### Value

A list of the components of a draw from the posterior

`B` | draw of regression coefficient matrix
`Sigma` | draw of Sigma

### Warning

This routine is a utility routine that does not check the input arguments for proper dimensions and type.

### 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.
http://gsbwww.uchicago.edu/fac/peter.rossi/research/bsm.html

### See Also

`rmultireg`,`init.rmultiregfp`

[Package bayesm version 2.0-8 Index]