[R] Generating samples from truncated multivariate Student-t distribution
czarek230800 at gmail.com
Tue May 9 22:11:21 CEST 2017
Of course I have expected the difference between theory and a sample
of realizations of RV's and result mean should still be a random
variable. But, for example for 4th element of mean vector: 35.31 -
34.69571 = 0.61429. It is quite big difference, nieprawdaż? I have
expected that the difference would be smaller because of law of large
numbers (for 10mln samples the difference is quite similar).
On 9 May 2017 at 21:40, David Winsemius <dwinsemius at comcast.net> wrote:
>> 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
>> R-help at r-project.org mailing list -- To UNSUBSCRIBE and more, see
>> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
>> and provide commented, minimal, self-contained, reproducible code.
> David Winsemius
> Alameda, CA, USA
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