bayesm: condMom – R documentation

Become an expert in R — Interactive courses, Cheat Sheets, certificates and more!

condMom

Computes Conditional Mean/Var of One Element of MVN given All Others

condMom compute moments of conditional distribution of the ith element of a multivariate normal given all others.

condMom(x, mu, sigi, i)

`x`	vector of values to condition on; ith element not used
`mu`	mean vector with `length(x)` = n
`sigi`	inverse of covariance matrix; dimension n x n
`i`	conditional distribution of ith element

x ~ MVN(mu, sigi^{-1}).

condMom computes moments of x_i given x_{-i}.

A list containing:

`cmean`	conditional mean
`cvar`	conditional variance

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

Peter Rossi, Anderson School, UCLA, perossichi@gmail.com.

For further discussion, see Bayesian Statistics and Marketing by Rossi, Allenby, and McCulloch.
http://www.perossi.org/home/bsm-1

sig  = matrix(c(1, 0.5, 0.5, 0.5, 1, 0.5, 0.5, 0.5, 1), ncol=3)
sigi = chol2inv(chol(sig))
mu   = c(1,2,3)
x    = c(1,1,1)

condMom(x, mu, sigi, 2)

Bayesian Inference for Marketing/Micro-Econometrics

v3.1-4

GPL (>= 2)

Authors

Peter Rossi <perossichi@gmail.com>

Initial release

2019-10-14