MPE.GaussianNIG {bbricks} | R Documentation |
Generate the MPE estimate of (beta,sigma^2) in following Gaussian-NIG structure:
x \sim Gaussian(X beta,sigma^2)
sigma^2 \sim InvGamma(a,b)
beta \sim Gaussian(m,sigma^2 V)
Where X is a row vector, or a design matrix where each row is an obervation. InvGamma() is the Inverse-Gamma distribution, Gaussian() is the Gaussian distribution. See ?dInvGamma
and dGaussian
for the definitions of these distribution.
The model structure and prior parameters are stored in a "GaussianNIG" object.
The MPEs are E(beta,sigma^2|m,V,a,b,X,x)
## S3 method for class 'GaussianNIG' MPE(obj, ...)
obj |
A "GaussianNIG" object. |
... |
Additional arguments to be passed to other inherited types. |
A named list, the MPE estimate of beta and sigma^2.
Banerjee, Sudipto. "Bayesian Linear Model: Gory Details." Downloaded from http://www. biostat. umn. edu/~ph7440 (2008).