Description Usage Arguments Details Value References Examples
Use the MCMC to obtain estimate of parameters of a multivariate skew t distribution.
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Y |
a matrix of observations with one subject per row. |
prior.Mu0 |
mean vector of multivariate normal prior of the
parameter μ. The default value is |
prior.Sigma0 |
variance matrix of multivariate normal prior of
the parameter μ. The default value is |
prior.muDelta0 |
mean vector of normal prior of the diagonal elements of parameter D.
The default value is |
prior.sigmaDelta0 |
standard deviation vector of normal prior of the diagonal
elements of parameter D.
The default value is |
prior.H0 |
the inverse of scale matrix of Wishart prior of the inverse of
parameter Σ. The default value is |
prior.P0 |
the degrees of freedom of Wishart prior of the inverse of
parameter Σ. The default value is |
nmcmc |
number of iterations. The default value is 10000. |
nburn |
number of burn-in. The default value is |
nthin |
output every |
seed |
random seed. The default value is 1. Note that |
This function estimates the parameters of a multivariate skew t distribution as in Sahu et al. 2003 using the MCMC.
Mu |
a matrix of parameter μ of the distribution, one row per iteration. |
Sigma |
a three dimensional array of parameter Σ of the distribution. Sigma[i,,] is the result from the i-th iteration. |
Delta |
a matrix of diagonal elements of parameter D of the distribution, one row per iteration. |
nu |
a vector of parameter ν of the distribution. |
DIC |
DIC value. |
Sahu, Sujit K., Dipak K. Dey, and Marcia D. Branco. (2003) A new class of multivariate skew distributions with applications to Bayesian regression models. Canadian Journal of Statistics vol. 31, no. 2 129-150.
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