prior.norm.A: prior.norm.A
In StepSignalMargiLike: Step-Wise Signal Extraction via Marginal Likelihood

Description Usage Arguments Details Value References Examples

This function computes the Norm-A prior proposed in Du, Kao and Kou (2015), which is used under conjugate normal assumption. The variance σ^2 is assumed to be drawn from an inverse Gamma distribution with shape parameter ν0 and scale parameter σ0^2, while mean is assumed to be drawn from a normal distribution with mean μ0 and variance σ^2/κ0.

1	prior.norm.A(data.x)

data.x

Observed data in vector form where each element represents a single observation.

See Manual.pdf in "data" folder.

Vector for prior parameters in the order of (μ0, κ0, ν0, σ0^2)

Chao Du, Chu-Lan Michael Kao and S. C. Kou (2015), "Stepwise Signal Extraction via Marginal Likelihood". Forthcoming in Journal of American Statistical Association.

library(StepSignalMargiLike)

n <- 5
data.x <- rnorm(n, 1, 1)
data.x <- c(data.x, rnorm(n, 10,1))
data.x <- c(data.x, rnorm(n, 2,1))
data.x <- c(data.x, rnorm(n, 10,1))
data.x <- c(data.x, rnorm(n, 1,1))

prior.norm.A(data.x)