bayesm: eMixMargDen – R documentation

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eMixMargDen

Compute Marginal Densities of A Normal Mixture Averaged over MCMC Draws

Description

eMixMargDen assumes that a multivariate mixture of normals has been fitted via MCMC (using rnmixGibbs). For each MCMC draw, eMixMargDen computes the marginal densities for each component in the multivariate mixture on a user-supplied grid and then averages over the MCMC draws.

Usage

eMixMargDen(grid, probdraw, compdraw)

Arguments

`grid`	array of grid points, `grid[,i]` are ordinates for `i`th dimension of the density
`probdraw`	array where each row contains a draw of probabilities of the mixture component
`compdraw`	list of lists of draws of mixture component moments

Details

`length(compdraw)`	is the number of MCMC draws.
`compdraw[[i]]`	is a list draws of mu and of the inverse Cholesky root for each of mixture components.
`compdraw[[i]][[j]]`	is `j`th component.
`compdraw[[i]][[j]]$mu`	is mean vector.
`compdraw[[i]][[j]]$rooti`	is the UL decomp of Σ^{-1}.

Value

An array of the same dimension as grid with density values.

Warning

This routine is a utility routine that does not check the input arguments for proper dimensions and type. To avoid errors, call with output from rnmixGibbs.

Author(s)

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

References

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