momMix {bayesm} | R Documentation |
momMix
averages the moments of a normal mixture model over MCMC draws.
momMix(probdraw, compdraw)
probdraw |
R x ncomp list of draws of mixture probs |
compdraw |
list of length R of draws of mixture component moments |
R is the number of MCMC draws in argument list above.
ncomp is the number of mixture components fitted.
compdraw is a list of lists of lists with mixture components.
compdraw[[i]] is ith draw.
compdraw[[i]][[j]][[1]] is the mean parameter vector for the jth component, ith MCMC draw.
compdraw[[i]][[j]][[2]] is the UL decomposition of Sigma^{-1} for the jth component, ith MCMC draw.
a list of the following items ...
mu |
Posterior Expectation of Mean |
sigma |
Posterior Expecation of Covariance Matrix |
sd |
Posterior Expectation of Vector of Standard Deviations |
corr |
Posterior Expectation of Correlation Matrix |
This routine is a utility routine that does not check the input arguments for proper dimensions and type.
Peter Rossi, Graduate School of Business, University of Chicago, Peter.Rossi@ChicagoGsb.edu.
For further discussion, see Bayesian Statistics and Marketing
by Rossi, Allenby and McCulloch, Chapter 5.
http://faculty.chicagogsb.edu/peter.rossi/research/bsm.html