bayesm
is an R package that facilitates statistical
analysis using Bayesian methods. The package provides a set of functions
for commonly used models in applied microeconomics and quantitative
marketing.
The goal of this vignette is to make it easier for users to adopt
bayesm
by providing a comprehensive overview of the
package’s contents and detailed examples of certain functions. We begin
with the overview, followed by a discussion of how to work with
bayesm
. The discussion covers the structure of function
arguments, the required input data formats, and the various output
formats. The final section provides detailed examples to demonstrate
Bayesian inference with the linear normal, multinomial logit, and
hierarchical multinomial logit regression models.
For ease of exposition, we have grouped the package contents into:
Because the first two groups contain many functions, we organize them into subgroups by purpose. Below, we display each group of functions in a table with one column per subgroup.
Linear Models \  Limited Dependent Variable Models  Hierarchical Models \  Density Estimation \ 

runireg * 
rbprobitGibbs ** 
rhierLinearModel 
rnmixGibbs * 
runiregGibbs 
rmnpGibbs 
rhierLinearMixture 
rDPGibbs 
rsurGibbs * 
rmvpGibbs 
rhierMnlRwMixture * 

rivGibbs 
rmnlIndepMetrop 
rhierMnlDP 

rivDP 
rscaleUsage 
rbayesBLP 

rnegbinRw 
rhierNegbinRw 

rordprobitGibbs 
*bayesm
offers the utility function breg
with a related but limited set of capabilities as runireg
—
similarly with rmultireg
for rsurGibbs
,
rmixGibbs
for rnmixGibbs
, and
rhierBinLogit
for rhierMnlRwMixture
.
**rbiNormGibbs
provides a tutoriallike example of Gibbs
Sampling from a bivariate normal distribution.
LogLikelihood (data vector) 
Log Density (univariate)  Random Draws \  MixtureofNormals \  Miscellaneous \ 

llmnl 
lndIChisq 
rdirichlet 
clusterMix 
cgetC 
llmnp 
lndIWishart 
rmixture 
eMixMargDen 
condMom 
llnhlogit 
lndMvn 
rmvst 
mixDen 
createX 
lndMvst 
rtrun 
mixDenBi 
ghkvec 

rwishart 
momMix 
logMargDenNR 

mnlHess 

mnpProb 

nmat 

numEff 

simnhlogit 
Plot Methods  Summary Methods 

plot.bayesm.mat 
summary.bayesm.mat 
plot.bayesm.nmix 
summary.bayesm.nmix 
plot.bayesm.hcoef 
summary.bayesm.var 
\  \  \ 

bank 
customerSat 
orangeJuice 
camera 
detailing 
Scotch 
cheese 
margarine 
tuna 
Some discussion of the naming conventions may be warranted. All
functions use CamelCase but begin lowercase. Posterior sampling
functions begin with r
to match R’s style of naming random
number generation functions since these functions all draw from
(posterior) distributions. Common abbreviations include DP for
Dirichlet Process, IV for instrumental variables, MNL
and MNP for multinomial logit and probit, SUR for
seemingly unrelated regression, and hier for hierarchical.
Utility functions that begin with ll
calculate the
loglikelihood of a data vector, while those that begin with
lnd
provide the logdensity. Other abbreviations should be
straighforward; please see the help file for a specific function if its
name is unclear.
bayesm
We expect most users of the package to interact primarily with the
posterior sampling functions. These functions take a consistent set of
arguments as inputs (Data
, Prior
, and
Mcmc
— each is a list) and they return output in a
consistent format (always a list). summary
and
plot
generic functions can then be used to facilitate
analysis of the output because of the classes and methods defined in
bayesm
. The following subsections describe the format of
the standardized function arguments as well as the required format of
the data inputs and the format of the output from bayesm
’s
posterior sampling functions.
The posterior sampling functions take three arguments:
Data
, Prior
, and Mcmc
. Each
argument is a list.
As a minimal example, assume you’d like to perform a linear
regression and that you have in your work space y
(a vector
of length \(n\)) and X
(a
matrix of dimension \(n \times p\)).
For this example, we utilize the default values for Prior
and so we do not specify the Prior
argument. These
components (Data
, Prior
, and Mcmc
as well as their arguments including R
and
nprint
) are discussed in the subsections that follow. Then
the bayesm
syntax is simply:
< list(y = y, X = X)
mydata < list(R = 1e6, nprint = 0)
mymcmc
< runireg(Data = mydata, Mcmc = mymcmc) out
The list elements of Data
, Prior
, and
Mcmc
must be named. For example, you could not use the
following code because the Data
argument
mydata2
has unnamed elements.
< list(y, X)
mydata2 < runireg(Data = mydata2, Mcmc = mymcmc) out
Data
Argumentbayesm
’s posterior sampling functions do not accept data
stored in dataframes; data must be stored as vectors or matrices.
For nonhierarchical models, the list of input data
simply contains the approprate data vectors or matrices from the set
{y
, X
, w
, z
}^{2} and
possibly a scalar (length one vector) from the set {k
,
p
}.
For functions that require only a single data argument (such as
the two density estimation functions, rnmixGibbs
and
rDPGibbs
), y
is that argument. More typically,
y
is used for LHS^{3} variable(s) and X
for RHS
variables. For estimation using instrumental variables, variables in the
structural equation are separated into “exogenous” variables
w
and an “edogenous” variable x
;
z
is a matrix of instruments.
For the scalars, p
indicates the number of choice
alternatives in discrete choice models and k
is used as the
maximum ordinate in models for ordinal data (e.g.,
rordprobitGibbs
).
For hierarchical models, the input data has up to 3
components. We’ll discuss these components using the mixed logit model
(rhierMnlRwMixture
) as an example. For
rhierMnlRwMixture
, the Data
argument is
list(lgtdata, Z, p)
.
The first component for all hierarchical models is required. It
is a list of lists named either regdata
or
lgtdata
, depending on the function. In
rhierMnlRwMixture
, lgtdata
is a list of lists,
with each interior list containing a vector or onecolumn matrix of
multinomial outcomes y
and a design matrix of covariates
X
. In Example 3 below, we show how to convert data from a
data frame to this required listoflists format.
The second component, Z
, is present but optional for
all hierarchical models. Z
is a matrix of crosssectional
unit characteristics that drive the mean responses; that is, a matrix of
covariates for the individual parameters (e.g. \(\beta_i\)’s). For example, the model
(omitting the priors) for rhierMnlRwMixture
is:
\[ y_i \sim \text{MNL}(X_i'\beta_i) \hspace{1em} \text{with} \hspace{1em} \beta_i = Z \Delta_i + u_i \hspace{1em} \text{and} \hspace{1em} u_i \sim N(\mu_j, \Sigma_j) \]
where \(i\) indexes individuals and \(j\) indexes crosssectional unit characteristics.
The third component (if accepted) is a scalar, such as
p
or k
, and like the arguments by the same
names in the nonhierarchical models, is used to indicate the size of
the choice set or the maximum value of a scale or count variable. In
rhierMnlRwMixture
, the argument is p
, which is
used to indicate the number of choice alternatives.
Note that rbayesBLP
(the hierarchical logit model with
aggregate data as in Berry, Levinsohn, and Pakes (1995) and
Jiang, Manchanda, and Rossi (2009)) deviates slightly from the standard
data input. rbayesBLP
uses j
instead of
p
to be consistent with the literature and calls the LHS
variable share
rather than y
to emphasize that
aggregate (market share instead of individual choice) data are
required.
Prior
ArgumentSpecification of prior distributions is modelspecific, so our discussion here is brief.
All posterior sampling functions offer default values for parameters of prior distributions. These defaults were selected to yield proper yet reasonablydiffuse prior distributions (assuming the data are in approximately unit scale). In addition, these defaults are consistent across functions. For example, normal priors have default values of mean 0 with value 0.01 for the scaling factor of the prior precision matrix.
Specification of the prior is important. Significantly more detail can be found in chapters 2–5 of BSM^{4} and the help files for the posterior sampling functions. We strongly recommend you consult them before accepting the default values.
Mcmc
ArgumentThe Mcmc
argument controls parameters of the sampling
algorithm. The most common components of this list include:
R
: the number of MCMC drawskeep
: a thinning parameter indicating that every
keep
\(^\text{th}\) draw
should be retainednprint
: an option to print the estimated time remaining
to the console after each nprint
\(^\text{th}\) drawMCMC methods are noniid. As a result, a large simulation size may be
required to get reliable results. We recommend setting R
large enough to yield an adequate effective sample size and letting
keep
default to the value 1 unless doing so imposes memory
constraints. A careful reader of the bayesm
help files will
notice that many of the examples set R
equal to 1000 or
less. This low number of draws was chosen for speed, as the examples are
meant to demonstrate how to run the code and do not necessarily
suggest best practices for a proper statistical analysis.
nprint
defaults to 100, but for large R
,
you may want to increase the nprint
option. Alternatively,
you can set nprint=0
, in which case the priors will still
be printed to the console, but the estimated time remaining will
not.
Additional components of the Mcmc
argument are
functionspecific, but typically include starting values for the
algorithm. For example, the Mcmc
argument for
runiregGibbs
takes sigmasq
as a scalar element
of the list. The Gibbs Sampler for runiregGibbs
first draws
\(\beta  \sigma^2\), then draws \(\sigma^2  \beta\), and then repeats. For
the first draw of \(\beta\) in the MCMC
chain, a value of \(\sigma^2\) is
required. The user can specify a value using Mcmc$sigmasq
,
or the user can omit the argument and the function will use its default
(sigmasq = var(Data$y)
).
bayesm
posterior sampling functions return a consistent
set of results and output to the user. At a minimum, this output
includes draws from the posterior distribution. bayesm
provides a set of summary
and plot
methods to
facilitate analysis of this output, but the user is free to analyze the
results as he or she sees fit.
All bayesm
posterior sampling functions return a list.
The elements of that list include a set of vectors, matrices, and/or
arrays (and possibly a list), the exact set of which depend on the
function.
Vectors are returned for draws of parameters with no natural
grouping. For example, runireg
implements and iid sampler
to draw from the posterior of a homoskedastic univariate regression with
a conjugate prior (i.e., a Bayesian analog to OLS regression). One
output list element is sigmasqdraw
, a length
R/keep
vector for the scalar parameter \(\sigma^2\).
Matrices are returned for draws of parameters with a natural
grouping. Again using runireg
as the example, the output
list includes betadraw
, an R/keep
\(\times\) ncol(X)
matrix for
the vector of \(\beta\) parameters.
Contrary to the next bullet, draws for the parameters in a
variancecovariance matrix are returned in matrix form. For example,
rmnpGibbs
implements a Gibbs Sampler for a multinomial
probit model where one set of parameters is the \((p1) \times (p1)\) matrix \(\Sigma\). The output list for
rmnpGibbs
includes the list element sigmadraw
,
which is a matrix of dimension R/keep
\(\times (p1)*(p1)\) with each row
containing a draw (in vector form) for all the elements of the matrix
\(\Sigma\). bayesm
’s
summary
and plot
methods (see below) are
designed to handle this format.
Arrays are used when parameters have a natural matrixgrouping,
such that the MCMC algorithm returns R/keep
draws of the
matrix. For example, rsurGibbs
returns a list that includes
Sigmadraw
, an \(m \times m
\times\)R/keep
array, where \(m\) is the number of regression equations.
As a second example, rhierLinearModel
estimates a
hierarchical linear regression model with a normal prior, and returns a
list that includes betadraw
, an \(n \times k \times\)R/keep
array, where \(n\) signifies the number
of individuals (each with their own \(\beta_i\)) and \(k\) signifies the number of covariates
(ncol(X)
= \(k\)).
For functions that use a mixtureofnormals or Dirichlet Process
prior, the output list includes a list (nmix
) pertaining to
that prior. nmix
is itself a list with 3 components:
probdraw
, zdraw
, and compdraw
.
probdraw
reports the probability that each draw came from a
particular normal component; zdraw
indicates which
mixtureofnormals component each draw is assigned to; and
compdraw
provides draws for the mixtureofnormals
components (i.e., mean vectors and Cholesky roots of covariance
matrices). Note that if you specify a “mixture” with only one normal
component, there will be no useful information in probdraw
.
Also note that zdraw
is not relevant for density estimation
and will be null except in rnmixGibbs
and
rDPGibbs
.
In R generally, objects can be assigned a class and then a
generic function can be used to run a method on an
object with that class. The list elements in the output from
bayesm
posterior sampling functions are assigned special
bayesm
classes. The bayesm
package includes
summary
and plot
methods for use with these
classes (see the table in Section 2 above). This means you can call the
generic function (e.g., summary
) on individual list
elements of bayesm
output and it will return
speciallyformatted summary results, including the effective sample
size.
To see this, the code below provides an example using
runireg
. Here the generic function summary
dispatches the method summary.bayesm.mat
because the
betadraw
element of runireg
’s output has class
bayesm.mat
. This example also shows the information about
the prior that is printed to the console during the call to a posterior
sampling function. Notice, however, that no remaining time is printed
because nprint
is set to zero.
set.seed(66)
< 2000
R < 200
n < cbind(rep(1,n), runif(n))
X < c(1,2)
beta < 0.25
sigsq < X %*% beta + rnorm(n, sd = sqrt(sigsq))
y < runireg(Data = list(y = y, X = X), Mcmc = list(R = R, nprint = 0)) out
##
## Starting IID Sampler for Univariate Regression Model
## with 200 observations
##
## Prior Parms:
## betabar
## [1] 0 0
## A
## [,1] [,2]
## [1,] 0.01 0.00
## [2,] 0.00 0.01
## nu = 3 ssq= 0.5721252
##
## MCMC parms:
## R= 2000 keep= 1 nprint= 0
##
summary(out$betadraw, tvalues = beta)
## Summary of Posterior Marginal Distributions
## Moments
## tvalues mean std dev num se rel eff sam size
## 1 1 1.0 0.07 0.0015 0.85 1800
## 2 2 2.1 0.12 0.0029 1.01 900
##
## Quantiles
## tvalues 2.5% 5% 50% 95% 97.5%
## 1 1 0.88 0.9 1.0 1.1 1.2
## 2 2 1.83 1.9 2.1 2.3 2.3
## based on 1800 valid draws (burnin=200)
bayesm
was originally created as a companion to BSM, at
which time most functions were written in R. The package has since been
expanded to include additional functionality and most code has been
converted to C++ via Rcpp
for faster performance. However,
for users interested in obtaining the original implementation of a
posterior sampling function (in R instead of C++), you may still access
the last version (2.25) of bayesm
prior to the
C++/Rcpp
conversion from the package
archive on CRAN.
To access the R
code in the current version of
bayesm
, the user can simply call a function without
parenthesis. For example, bayesm::runireg
. However, most
posterior sampling functions only perform basic checks in R
and then call an unexported C++ function to do the heavy lifting (i.e.,
the MCMC draws). This C++ source code is not available to the user via
the installed bayesm
package because C++ code is compiled
upon package installation on Linux machines and precompiled by CRAN for
Mac and Windows. To access this source code, the user must download the
“package source” from CRAN. This can be accomplished by clicking on the
appropriate link at the bayesm
package
archive or by executing the R
command
download.packages(pkgs="bayesm", destdir=".", type="source")
.
Either of these methods will provide you with a compressed file
“bayesm_version.tar.gz” that can be uncompressed. The C++ code can then
be found in the “src” subdirectory.
We begin with a brief introduction to regression and Bayesian estimation. This will help set the notation and provide background for the examples that follow. We do not claim that this will be a sufficient introduction to the reader for which these ideas are new. We refer that reader to excellent texts on regression analysis by Cameron & Trivedi, Davidson & MacKinnon, Goldberger, Greene, Wasserman, and Wooldridge.^{5} For Bayesian methods, we recommend Gelman et al., Jackman, Marin & Robert, Rossi et al., and Zellner.^{6}
Suppose you believe a variable \(y\) varies with (or is caused by) a set of variables \(x_1, x_2, \ldots, x_k\). For notational convenience, we’ll collect the set of \(x\) variables into \(X\). These variables \(y\) and \(X\) have a joint distribution \(f(y, X)\). Typically, interest will not fall on this joint distribution, but rather on the conditional distribution of the “outcome” variable \(y\) given the “explanatory” variables (or “covariates”) \(x_1, x_2, \ldots, x_k\); this conditional distribution being \(f(yX)\).
To carry out inference on the relationship between \(y\) and \(X\), the researcher then often focuses attention on one aspect of the conditional distribution, most commonly its expected value. This conditional mean is assumed to be a function \(g\) of the covariates such that \(\mathbb{E}[yX] = g(X, \beta)\) where \(\beta\) is a vector of parameters. A function for the conditional mean is known as a “regression” function.
The canonical introductory regression model is the normal linear regression model, which assumes that \(y \sim N(X\beta, \sigma^2)\). Most students of regression will have first encountered this model as a combination of deterministic and stochastic components. There, the stochastic component is defined as deviations from the conditional mean, \(\varepsilon = y  \mathbb{E}[yX]\), such that \(y = \mathbb{E}[yX] + \varepsilon\) or that \(y = g(X, \beta) + \varepsilon\). The model is then augmented with the assumptions that \(g(X, \beta) = X \beta\) and \(\varepsilon \sim N(0,\sigma^2)\) so that the normal linear regression model is:
\[ y = X \beta + \varepsilon \text{ with } \varepsilon \sim N(0,\sigma^2) \hspace{1em} \text{or} \hspace{1em} y \sim N(X\beta, \sigma^2) \]
When taken to data, additional assumptions are made which include a fullrank condition on \(X\) and often that \(\varepsilon_i\) for \(i=1,\ldots,n\) are independent and identically distributed.
Our first example will demonstrate how to estimate the parameters of
the normal linear regression model using Bayesian methods made available
by the posterior sampling function runireg
. We then provide
an example to estimate the parameters of a model when \(y\) is a categorical variable. This second
example is called a multinomial logit model and uses the logistic “link”
function \(g(X, \beta) = [1 +
exp(X\beta)]^{1}\). Our third and final example will extend the
multinomial logit model to permit individuallevel parameters. This is
known as a hierarchical model and requires panel data to perform the
estimation.
Before launching into the examples, we briefly introduce Bayesian methodology and contrast it with classical methods.
Under classical econometric methods, \(\beta\) is most commonly estimated by minimizing the sum of squared residuals, maximizing the likelihood, or matching sample moments to population moments. The distribution of the estimators (e.g., \(\hat{\beta}\)) and test statistics derived from these methods rely on asymptotic concepts and are based on imaginary samples not observed.
In contrast, Bayesian inference provides the benefits of (a) exact sample results, (b) integration of descisionmaking, estimation, testing, and model selection, and (c) a full accounting of uncertainty. These benefits from Bayesian inference rely heavily on probability theory and, in particular, distributional theory, some elements of which we now briefly review.
Recall the relationship between the joint and conditional densities for random variables \(W\) and \(Z\):
\[ P_{AB}(A=aB=b) = \frac{P_{A,B}(A=a, B=b)}{P_B(B=b)} \]
This relationship can be used to derive Bayes’ Theorem, which we write with \(D\) for “data” and \(\theta\) as the parameters (and with implied subscripts):
\[ P(\thetaD) = \frac{P(D\theta)P(\theta)}{P(D)} \]
Noticing that \(P(D)\) does not contain the parameters of interest (\(\theta\)) and is therefore simply a normalizing constant, we can instead write:
\[ P(\thetaD) \propto P(D\theta)P(\theta) \]
Introducing Bayesian terminology, we have that the “Posterior” is proportional to the Likelihood times the Prior.
Thus, given (1) a dataset (\(D\)), (2) an assumption on the data generating process (the likelihood, \(P(D\theta)\)), and (3) a specification of the prior distribution of the parameters (\(P(\theta)\)), we can find the exact (posterior) distribution of the parameters given the observed data. This is in stark contrast to classical econometric methods, which typically only provide the asymptotic distributions of estimators.
However, for any problem of practical interest, the posterior distribution is a highdimensional object. Additionally, it may not be possible to analytically calculate the posterior or its features (e.g., marginal distributions or moments such as the mean). To handle these issues, the modern approach to Bayesian inference relies on simulation methods to sample from the (highdimensional) posterior distribution and then construct marginal distributions (or their features) from the sampled draws of the posterior. As a result, simulation and summaries of the posterior play important roles in modern Bayesian statistics.
bayesm
’s posterior sampling functions (as their name
suggests) sample from posterior distributions. bayesm
’s
summary
and plot
methods can be used to
analyze those draws. Unlike most classical econometric methods, the MCMC
methods implemented in bayesm
’s posterior sampling
functions provide an estimate of the entire posterior distribution, not
just a few moments. Given this “rich” result from Bayesian methods, it
is best to summarize posterior distributions using histograms or
quantiles. We advise that you resist the temptation to simply report the
posterior mean and standard deviation; for nonnormal distributions,
those moments may have little meaning.
In the examples that follow, we will describe the data we use, present the model, demonstrate how to estimate it using the appropriate posterior sampling function, and provide various ways to summarize the output.
For our first example, we will use the cheese
dataset,
which provides 5,555 observations of weekly sales volume for a package
of Borden sliced cheese, as well as a measure of promotional display
activity and price. The data are aggregated to the “key” account (i.e.,
retailermarket) level.
data(cheese)
names(cheese) < tolower(names(cheese))
str(cheese)
## 'data.frame': 5555 obs. of 4 variables:
## $ retailer: Factor w/ 88 levels "ALBANY,NY  PRICE CHOPPER",..: 42 43 44 19 20 21 35 36 64 31 ...
## $ volume : int 21374 6427 17302 13561 42774 4498 6834 3764 5112 6676 ...
## $ disp : num 0.162 0.1241 0.102 0.0276 0.0906 ...
## $ price : num 2.58 3.73 2.71 2.65 1.99 ...
Suppose we want to assess the relationship between sales volume and price and promotional display activity. For this example, we will abstract from whether these relationships vary by retailer or whether prices are set endogenously. Simple statistics show a negative correlation between volume and price, and a positive correlation between volume and promotional activity, as we would expect.
options(digits=3)
cor(cheese$volume, cheese$price)
## [1] 0.227
cor(cheese$volume, cheese$disp)
## [1] 0.173
We model the expected log sales volume as a linear function of log(price) and promotional activity. Specifically, we assume \(y_i\) to be iid with \(p(y_ix_i,\beta)\) normally distributed with a mean linear in \(x\) and a variance of \(\sigma^2\). We will denote observations with the index \(i = 1, \ldots, n\) and covariates with the index \(j = 1, \ldots, k\). The model can be written as:
\[ y_i = \sum_{j=1}^k \beta_j x_{ij} + \varepsilon_i = x_i'\beta + \varepsilon_i \hspace{1em} \text{with} \hspace{1em} \varepsilon_i \sim iid\ N(0,\sigma^2) \]
or equivalently but more compactly as:
\[ y \sim MVN(X\beta,\ \sigma^2I_n) \]
Here, the notation \(N(0,
\sigma^2)\) indicates a univariate normal distribution with mean
\(0\) and variance \(\sigma^2\), while \(MVN(X\beta,\ \sigma^2I_n)\) indicates a
multivariate normal distribution with mean vector \(X\beta\) and variancecovariance matrix
\(\sigma^2I_n\). In addition, \(y_i\), \(x_{ij}\), \(\varepsilon_i\), and \(\sigma^2\) are scalars while \(x_i\) and \(\beta\) are \(k
\times 1\) dimensional vectors. In the more compact notation,
\(y\) is an \(n \times 1\) dimensional vector, \(X\) is an \(n
\times k\) dimensional matrix with row \(x_i\), and \(I_n\) is an \(n
\times n\) dimensional identity matrix. With regard to the
cheese
dataset, \(k = 2\)
and \(n = 5,555\).
When employing Bayesian methods, the model is incomplete until the prior is specified. For our example, we elect to use natural conjugate priors, meaning the family of distributions for the prior is chosen such that, when combined with the likelihood, the posterior will be of the same distributional family. Specifically, we first factor the joint prior into marginal and conditional prior distributions:
\[ p(\beta,\sigma^2) = p(\beta\sigma^2)p(\sigma^2) \]
We then specify the prior for \(\sigma^2\) as inversegamma (written in terms of a chisquared random variable) and the prior for \(\beta\sigma^2\) as multivariate normal:
\[ \sigma^2 \sim \frac{\nu s^2}{\chi^2_{\nu}} \hspace{1em} \text{and} \hspace{1em} \beta\sigma^2 \sim MVN(\bar{\beta},\sigma^2A^{1}) \]
Other than convenience, we have little reason to specify priors from
these distributional families; however, we will select diffuse priors so
as not to impose restrictions on the model. To do so, we must pick
values for \(\nu\) and \(s^2\) (the degrees of freedom and scale
parameters for the inverted chisquared prior on \(\sigma^2\)) as well as \(\bar{\beta}\) and \(A^{1}\) (the mean vector and
variancecovariance matrix for the multivariate normal prior on the
\(\beta\) vector). The
bayesm
posterior sampling function for this model,
runireg
, defaults to the following values:
var(y)
We will use these defaults, as they are chosen to be diffuse for data with a unit scale. Thus, for each \(\beta_j  \sigma^2\) we have specified a normal prior with mean 0 and variance \(100\sigma^2\), and for \(\sigma^2\) we have specified an inversegamma prior with \(\nu = 3\) and \(s^2 = \text{var}(y)\). We graph these prior distributions below.
par(mfrow = c(1,2))
curve(dnorm(x,0,10), xlab = "", ylab = "", xlim = c(30,30),
main = expression(paste("Prior for ", beta[j])),
col = "dodgerblue4")
< 3
nu < var(log(cheese$volume))
ssq curve(nu*ssq/dchisq(x,nu), xlab = "", ylab = "", xlim = c(0,1),
main = expression(paste("Prior for ", sigma^2)),
col = "darkred")
par(mfrow = c(1,1))