Re: [R] Bivariate lognormal distribution

From: Vicky Landsman <msvika_at_mscc.huji.ac.il>
Date: Sat 26 Mar 2005 - 04:13:00 EST

Thanks to Prof. Ripley, Kjetil and Spencer Graves for help. I will be more specific.
I have to simulate a bivariate lognormal pair (Y1,Y0) where E(Y1)=X'b, E(Y0)=X'd, Var(Y1)=c1, Var(Y0)=c0,
X is a data matrix, and b and d are vectors of parameters. Vicky.

>
> 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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