convert_Gamma_Normal: convert_Gamma_Normal

In kDGLM: Bayesian Analysis of Dynamic Generalized Linear Models

convert_Gamma_Normal

Description

Calculate the parameters of the Inverse-Gamma that best approximates the given log-Normal distribution. The approximation is the best in the sense that it minimizes the KL divergence from the log-Normal to the Inverse-Gamma

Usage

convert_Gamma_Normal(ft, Qt, parms)

Arguments

ft	vector: A vector representing the means from the normal distribution.
Qt	matrix: A matrix representing the covariance matrix of the normal distribution.
parms	list: A list of extra known parameters of the distribution. Not used in this function.

Value

The parameters of the conjugated distribution of the linear predictor.

See Also

Other auxiliary functions for a Gamma outcome with known shape: convert_Normal_Gamma(), gamma_pred(), update_Gamma()

kDGLM documentation built on April 4, 2025, 4:44 a.m.