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covreg (version 1.0)

A simultaneous regression model for the mean and covariance

Description

This package fits a simultaneous regression model for the mean vectors and covariance matrices of multivariate response variables, as described in Hoff and Niu (2012). The explanatory variables can be continuous or discrete. The current version of the package provides the Bayesian estimates.

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Version

Install

install.packages('covreg')

Monthly Downloads

13

Version

1.0

License

GPL-2

Maintainer

Xiaoyue Niu

Last Published

March 6th, 2014

Functions in covreg (1.0)

covreg.mcmc

Bayesian estimation of the covariance regressioin model
cov.psamp

Posterior samples of the covariance matrices from the covariance regression model
fev

Modified Rosner's FEV data
m.psamp

Posterior samples of the mean vectors from the covariance regression model
rwish

Sample from the Wishart distribution
rmn

Sample from matrix normal distribution
covreg-package

A simultaneous regression model for the mean and covariance