prior.norm.B {StepSignalMargiLike}

prior.norm.B

Description

This function computes the Norm-B prior proposed in Du, Kao and Kou (2015), which is used under conjugate normal assumption. The variance \sigma^2 is assumed to be drawn from an inverse Gamma distribution with shape parameter \nu0 and scale parameter \sigma0^2, while mean is assumed to be drawn from a normal distribution with mean \mu0 and variance \sigma^2/\kappa0.

Usage

prior.norm.B(data.x)

Arguments

data.x

Observed data in vector form where each element represents a single observation.

Details

See Manual.pdf in "data" folder.

Value

Vector for prior parameters in the order of (\mu0, \kappa0, \nu0, \sigma0^2)

References

Chao Du, Chu-Lan Michael Kao and S. C. Kou (2015), "Stepwise Signal Extraction via Marginal Likelihood". Forthcoming in Journal of American Statistical Association.

Examples

library(StepSignalMargiLike)

n <- 5
data.x <- rnorm(n, 1, 1)
data.x <- c(data.x, rnorm(n, 10,1))
data.x <- c(data.x, rnorm(n, 2,1))
data.x <- c(data.x, rnorm(n, 10,1))
data.x <- c(data.x, rnorm(n, 1,1))

prior.norm.B(data.x)