[R] truncated distributions
David Winsemius
dwinsemius at comcast.net
Sat Apr 2 18:41:17 CEST 2011
On Apr 2, 2011, at 11:06 AM, statfan wrote:
> I am sampling from the truncated multivariate student t distribution
> "rtmvt"
> in the package {tmvtnorm}. My question is about the mean vector. Is
> it
> possible to define a mean vector outside of the truncated region?
> Thank you
> in advance for any help.
In what sense are you interpreting the word "mean"? The "mean" in the
specification of a truncated distribution is probably not going to be
the expected value of a random variable from such a distribution, but
rather refers to the parent distribution's mean.
> print(x=rtmvnorm(10, mean=0, sigma=1, lower=0.5, upper=1), digits=3)
[,1]
[1,] 0.984
[2,] 0.528
[3,] 0.529
[4,] 0.550
[5,] 0.832
[6,] 0.788
[7,] 0.775
[8,] 0.631
[9,] 0.832
[10,] 0.558
--
David Winsemius, MD
West Hartford, CT
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