[R] truncated multivariate normal
Ben Bolker
bolker at zoo.ufl.edu
Tue Sep 30 23:29:43 CEST 2003
Do you mean you want to generate deviates from this distribution or that
you want the density function (or distribution function)?
mvrnorm in package MASS (library(MASS)) will generate multivariate normal
deviates. A brute-force approach would just keep picking values until you
get ones in the right quadrant, although with your example (large
variance, small mean) that would mean you would be wasting 3/4 of your
values -- so there are probably more efficient approaches. Depends how
much time you want to spend programming, how many values you want to draw,
and how fast your computer is ...
Ben
On Tue, 30 Sep 2003, Juliana Garcia Cespedes wrote:
> Please,
>
> I would like to know how to generate a truncated multivariate normal
> distribution k - dimensional, X ~ NT(mu, Sigma), where the
> elements of X to be non-negative (except the first), and the first
> dimension is strictly larger than zero.
>
> Example:
>
> X ~ NT_2(mu, Sigma),
>
> where mu=c(0.5, 0.5) and Sigma=c([120, 191], [191,154]), with X_1>0
> and X_2>=0
> Could anybody help me?
>
> Thanks in advanced.
>
> Juliana G. Cespedes
> Mestranda em Estatística e Experimentação Agronômica
> Departamento de Ciências Exatas - ESALQ/USP
> São Paulo - Brasil
>
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