Prior for a standard deviation or variance

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Description

Specifies an inverse Gamma prior for a variance parameter, but inputs are defined in terms of a standard deviation.

Usage

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  SdPrior(sigma.guess, sample.size = .01, initial.value = sigma.guess,
          fixed = FALSE, upper.limit = Inf)

Arguments

sigma.guess

A prior guess at the value of the standard deviation.

sample.size

The weight given to sigma.guess. Interpretable as a prior observation count.

initial.value

The initial value of the paramter in the MCMC algorithm.

fixed

Logical. Some algorithms allow you to fix sigma at a particular value. If TRUE then sigma will remain fixed at initial.value, if supported.

upper.limit

If positive, this is the upper limit on possible values of the standard deviation parameter. Otherwise the upper limit is assumed infinite. Not supported by all MCMC algorithms.

Author(s)

Steven L. Scott stevescott@google.com

References

Gelman, Carlin, Stern, Rubin (2003), "Bayesian Data Analysis", Chapman and Hall.

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