sample_sig: Update for total variation parameter in 'equi_mcmc'.

Description Usage Arguments Details Value Author(s) References See Also


Samples from the square root of an inverse-gamma.


sample_sig(X, phi_inv)



An array. The tensor data.


A list of the current values of inverse of the lower-triangular Cholesky square root of the the component covariance matrices. This is equivalent to the transpose of the upper-triangular Cholesky square root of the inverse component covariance matrices.

phi_inv[[i]] is a lower triangluar matrix where solve(phi_inv[[i]]) %*% t(solve(phi_inv[[i]])) is the current estimate of the ith component covariance matrix.


This function provides a Gibbs update for the total variation parameter from the MCMC implemented in equi_mcmc. This corresponds to the square root of an inverse-gamma distributed random variable whose parameters depend on the data and the component covariance matrices. Roughly, this is the update for the standard deviation, not the variance.


A numeric. The update for the total variation parameter in the MCMC implemented in equi_bayes.


David Gerard.


Gerard, D., & Hoff, P. (2015). Equivariant minimax dominators of the MLE in the array normal model. Journal of Multivariate Analysis, 137, 32-49.

See Also

equi_mcmc for a Gibbs sampler where this function is used.

tensr documentation built on May 2, 2019, 2:32 p.m.