ghkvec {bayesm}R Documentation

Compute GHK approximation to Multivariate Normal Integrals

Description

ghkvec computes the GHK approximation to the integral of a multivariate normal density over a half plane defined by a set of truncation points.

Usage

ghkvec(L, trunpt, above, r)

Arguments

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

Value

approximation to integral

Note

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.

Author(s)

Peter Rossi, Graduate School of Business, University of Chicago, Peter.Rossi@ChicagoGsb.edu.

References

For further discussion, see Bayesian Statistics and Marketing by Rossi,Allenby and McCulloch, Chapter 2.
http://gsbwww.uchicago.edu/fac/peter.rossi/research/bsm.html

Examples

##

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)

[Package bayesm version 2.0-5 Index]