eMixMargDen: Compute Marginal Densities of A Normal Mixture Averaged over...

In bayesm: Bayesian Inference for Marketing/Micro-Econometrics

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 ith 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 jth component.
compdraw[[i]][[j]]$mu	is mean vector.
compdraw[[i]][[j]]$rooti	is the UL decomp of \Sigma^{-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, [e-mail].

References

For further discussion, see Bayesian Statistics and Marketingby Rossi, Allenby, and McCulloch.

See Also

rnmixGibbs

bayesm documentation built on Sept. 24, 2023, 1:07 a.m.