[R] truncated normal

[Duncan Murdoch]

On 7/23/2008 3:41 PM, cindy Guo wrote:
> Hi, I want to generate random samples from truncated normal say
> Normal(0,1)Indicator((0,1),(2,4)). It has more than one intervals. In the
> library msm, it seems to me that the 'lower' and 'upper' arguments can only
> be a number. I tried rtnorm(1,mean=0,sd=1, lower=c(0,2),upper=c(1,4)) and it
> didn't work. Can you tell me  how I can do truncated normal at more than one
> intervals?

The inverse CDF method will work.  For example, this untested code:

rtruncnorm <- function(n, mean=0, sd=1, lower=-Inf, upper=Inf) {
   plower <- pnorm(lower, mean, sd) # get the probability values for the
                                    # lower limits
   pupper <- pnorm(upper, mean, sd) # ditto for the upper limits
   p <- plower + (pupper - plower)*runif(n) # get random values between
                                            # those
   qnorm(p, mean, sd)  # invert the CDFs
}

As I said, this is untested, but it should work if all of mean, sd, 
lower, and upper are the same length, and in some cases where they aren't.

Duncan Murdoch