Gibbs: Gibbs Sampler

In gamalamboy/stresstest: Implement the ETI Stress Testing Simulation

Description

This function implements a basic Gibbs Sampler simulating between P( θ \mid Z,Y,Σ) and P( Σ \mid Z, Y, θ ).

Usage

Gibbs(Z, Y, params, iters)

Arguments

Z	the list of model matrices for t=1,…,τ.
Y	the list of dependent variable vectors.
params	a three-component list, containing: InvPriorVbeta, the prior precision matrix for the parameters. PriorBeta, the prior mean for the parameters. InvVar, the prior precision matrix for the parameters.
iters	the number of sampling iterations. It must be remembered that the burn-in period must be accounted for in selecting the number of iterations.

Value

An object of class Gibbs, containing:

1. the simulated runs for θ.

2. the simulated runs for Σ and Σ^{-1}.

3. the simulated covariance matrix of the parameters ( V_{β} )

This object is a list, containing three arrays of matrices and a matrix.

gamalamboy/stresstest documentation built on May 17, 2019, 1:33 p.m.