[R] Generating samples from truncated multivariate Student-t distribution

David Winsemius dwinsemius at comcast.net
Tue May 9 21:40:55 CEST 2017

> On May 9, 2017, at 10:09 AM, Czarek Kowalski <czarek230800 at gmail.com> wrote:
> Dear Members,
> I am working with 6-dimensional Student-t distribution with 4 degrees
> of freedom truncated to [20; 60]. I have generated 100 000 samples
> from truncated multivariate Student-t distribution using rtmvt
> function from package ‘tmvtnorm’. I have also calculated  mean vector
> using equation (3) from attached pdf. The problem is, that after
> summing all elements in one column of rtmvt result (and dividing by
> 100 000) I do not receive the same result as using (3) equation. Could
> You tell me, what is incorrect, why there is a difference?

I guess the question is why you would NOT expect a difference between theory and a sample of realizations of RV's? The result mean should still be a random variable, night wahr?

> Yours faithfully
> Czarek Kowalski
> <truncatedT.pdf>______________________________________________
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David Winsemius
Alameda, CA, USA

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