Re: [R] Bivariate lognormal distribution

From: Spencer Graves <spencer.graves_at_pdf.com>
Date: Sat 26 Mar 2005 - 01:40:50 EST

      I hope Professor Ripley will correct me if I'm mistaken, but the documentation for "mvrnorm" in library(MASS) says it will, "Simulate from a Multivariate Normal Distribution". If you want the density function or probabilities or quantiles, you can get those from library(mvtnorm).

      Just for completeness, to use normal for a lognormal, you need to take the logarithms of your number (which must be all positive; zeros and negative numbers become NA), then compute mean vector and variance matrix of the logs, compute probabilities on the log scale, then back transform by exponentiating to get the results back into the original scale.

      hope this helps. spencer graves

Prof Brian Ripley wrote:

> On Thu, 24 Mar 2005, Vicky Landsman wrote:
>
>> Is there a package that enables to create the bivariate log-normal
>> variables?
>
>
> Just exponentiate each of a bivariate normal pair. You can get the
> latter from mvrnorm in package MASS.
>



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