View source: R/MH_sample_post.R
sample_post_t_ref_marg_mu | R Documentation |
This function implements Metropolis-Hastings algorithm for drawing samples from the posterior distribution of \mathbf{μ} and \mathbf{Ψ} under the assumption of the t-distribution when the Berger and Bernardo prior is employed. At each step, the algorithm starts with generating a draw from the marginal distribution of \mathbf{μ}.
sample_post_t_ref_marg_mu(X, U, d, Np)
X |
A p \times n matrix which contains n observation vectors of dimension p. |
U |
A p n \times p n block-diagonal matrix which contains the covariance matrices of observation vectors. |
d |
Degrees of freedom for the t-distribution |
Np |
Length of the generated Markov chain. |
List with the generated samples from the joint posterior distribution of \mathbf{μ} and \mathbf{Ψ}, where the values of \mathbf{Ψ} are presented by using the vec operator.
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