sur_sample_cpp {surbayes}

Sample from SUR via Direct Monte Carlo (C++ version)

Description

C++ implementation of Zellner and Ando (2010) Direct Monte Carlo method for sampling from the posterior of a Bayesian SUR

Usage

sur_sample_cpp(Y, Xlist, y, X, XtX, pj, M)

Arguments

Y

matrix (y_1, \ldots y_J)

Xlist

A list, each element a design matrix

y

vector of responses

X

design matrix

XtX

matrix giving crossprod(cbind(X1, ..., XJ))

pj

vector giving number of covariates per endpoint

M

An integer giving the number of desired samples