[R] Fitting weibull, exponential and lognormal distributions to left-truncated data.

[Prof Brian Ripley]

On Tue, 7 Oct 2008, Richard.Cotton at hsl.gov.uk wrote:

>>> I have several datasets, all left-truncated at x=1, that I am
> attempting
>>> to fit distributions to (lognormal, weibull and exponential).  I had
>>> been using fitdistr in the MASS package as follows:
>
>> A possible solution is to use the survreg() in the survival package
>> without specifying the covariates, i.e.
>>
>> library(survival)
>> survreg(Surv(..)~1, dist="weibull")
>>
>> where Surv(..) accepts information about "times", censoring/truncation
>> variables and dist allows to specify alternative distributions.
>> See ?Surv e ?survreg
>
> The survival package is mostly targeted at right-censored data.  The NADA
> package provides wrappers for many of the survival routines so they work
> with left-censored data.

Left-censoring and left-truncation are not the same thing.  With 
left-censoring you see that you had observations < 1, and with 
left-truncation you do not (at least how the terms are usually applied: 
occasionally the meanings are reversed).

For left-truncation it is relatively easy, e.g.

ltwei <- function(x, shape, scale = 1, log = FALSE)
     dweibull(x, shape, scale, log)/pweibull(1, shape, scale, lower=FALSE)

and use this in fitdistr.

-- 
Brian D. Ripley,                  ripley at stats.ox.ac.uk
Professor of Applied Statistics,  http://www.stats.ox.ac.uk/~ripley/
University of Oxford,             Tel:  +44 1865 272861 (self)
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