Re: [R] from a normal bivariate distribution to the marginal one

From: David Winsemius <dwinsemius_at_comcast.net>
Date: Wed, 23 Jan 2008 15:02:47 +0000 (UTC)

Elisabetta Petracci <elisabetta.petracci_at_unimi.it> wrote in news:479730AA.3040505_at_unimi.it:

> Hello,
>
> I'm quite new with R and so I would like to know if there is a
> command to calculate an integral.
> In particular I simulated a bivariate normal distribution using
> these simple lines:
>
> rbivnorm <- function(n, # sample size
>
> mux, # expected value of x
>
> muy, # expected value of Y
>
> sigmax, # standard deviation of X
>
> sigmay, # standard deviation of Y
>
> rho){ # correlation coefficient
>
>
> x <- rnorm(n,mux,sigmax)
> y <- rnorm(n,muy+rho*sigmay*(x-mux)/sigmax,
> sigmay*sqrt(1-rho2))
>
> cbind(x,y)
> }
>
> In this way I've sampled from a normal bivariate distribution and
> I've obtained two vectors of values:x and y..
>
> Now, I would like to find the marginal distribution of y from the
> bivariate distribution.

> Is there a command to do this?

It appears you left out a "^" between rho and 2.

There is an integrate() function but it requires a function (not a finite set of points). I think that what you may want is density(). Try:

mv.x.y<-rbivnorm(200,1,4,0.3,0.4,0.3)
plot(mv.x.y)

y.dens<-density(mv.x.y[,2])
plot(y.dens)

If you want the cdf rather than an estimate of the pdf, then look at ecdf().

-- 
David Winsemius

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Received on Wed 23 Jan 2008 - 15:26:52 GMT

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