ghkvec {bayesm} | R Documentation |
ghkvec
computes the GHK approximation to the integral of a
multivariate normal density over a half plane defined by a set
of truncation points.
ghkvec(L, trunpt, above, r)
L |
lower triangular Cholesky root of Covariance matrix |
trunpt |
vector of truncation points |
above |
vector of indicators for truncation above(1) or below(0) |
r |
number of draws to use in GHK |
approximation to integral
ghkvec
can accept a vector of truncations and compute more than one
integral. That is, length(trunpt)/length(above) number of different integrals,
each with the same Sigma and mean 0 but different truncation points. See
example below for an example with two integrals at different truncation points.
Peter Rossi, Graduate School of Business, University of Chicago, Peter.Rossi@ChicagoGsb.edu.
For further discussion, see Bayesian Statistics and Marketing
by Allenby, McCulloch, and Rossi, Chapter 3.
http://gsbwww.uchicago.edu/fac/peter.rossi/research/bsm.html
## Sigma=matrix(c(1,.5,.5,1),ncol=2) L=t(chol(Sigma)) trunpt=c(0,0,1,1) above=c(1,1) ghkvec(L,trunpt,above,100)