Re: [R] truncated distributions

From: David Winsemius <dwinsemius_at_comcast.net>
Date: Sat, 02 Apr 2011 12:41:17 -0400

On Apr 2, 2011, at 11:06 AM, statfan wrote:

> I am sampling from the truncated multivariate student t distribution
> "rtmvt"
> in the package {tmvtnorm}. My question is about the mean vector. Is
> it
> possible to define a mean vector outside of the truncated region?
> Thank you
> in advance for any help.

In what sense are you interpreting the word "mean"? The "mean" in the specification of a truncated distribution is probably not going to be the expected value of a random variable from such a distribution, but rather refers to the parent distribution's mean.

 > print(x=rtmvnorm(10, mean=0, sigma=1, lower=0.5, upper=1), digits=3)

        [,1]

  [1,] 0.984
  [2,] 0.528
  [3,] 0.529
  [4,] 0.550
  [5,] 0.832
  [6,] 0.788
  [7,] 0.775
  [8,] 0.631
  [9,] 0.832

[10,] 0.558
-- 

David Winsemius, MD
West Hartford, CT

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Received on Sat 02 Apr 2011 - 15:49:29 GMT

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