ghkvec {bayesm} | R Documentation

## Compute GHK approximation to Multivariate Normal Integrals

### Description

`ghkvec` computes the GHK approximation to the integral of a multivariate normal density over a half plane defined by a set of truncation points.

### Usage

    ghkvec(L, trunpt, above, r)

### Arguments

`L` | lower triangular Cholesky root of Covariance matrix
`trunpt` | vector of truncation points
`above` | vector of indicators for truncation above(1) or below(0)
`r` | number of draws to use in GHK

### Value

approximation to integral

### Note

`ghkvec` can accept a vector of truncations and compute more than one integral. That is, length(trunpt)/length(above) number of different integrals, each with the same Sigma and mean 0 but different truncation points. See example below for an example with two integrals at different truncation points.

### 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

### Examples

    ##

    Sigma=matrix(c(1,.5,.5,1),ncol=2)
    L=t(chol(Sigma))
    trunpt=c(0,0,1,1)
    above=c(1,1)
    ghkvec(L,trunpt,above,100)

[Package bayesm version 2.0-8 Index]