[R] Bivariate lognormal distribution

[Kjetil Brinchmann Halvorsen]

Vicky Landsman wrote:

>
> 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.

You did'nt specify the dependence!

Kjetil

>
>
> ----- Original Message ----- From: "Spencer Graves" 
> <spencer.graves at pdf.com>
> To: "Prof Brian Ripley" <ripley at stats.ox.ac.uk>
> Cc: "Vicky Landsman" <msvika at mscc.huji.ac.il>; "R-help list" 
> <R-help at stat.math.ethz.ch>
> Sent: Friday, March 25, 2005 4:40 PM
> Subject: Re: [R] Bivariate lognormal distribution
>
>
>>
>>      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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-- 

Kjetil Halvorsen.

Peace is the most effective weapon of mass construction.
               --  Mahdi Elmandjra





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