Re: [R] how can generate from trunceted gamma distribution in R ?
Duncan Murdoch wrote: On 11/12/2009 7:12 AM, khaz...@ceremade.dauphine.fr wrote: Hi, all How can generate a sample from truncated inverse gamma distribution in R? Using the inverse CDF method or rejection sampling are possible, depending on what your truncation is like. If your truncation forces the observations far out into the tails, you need to be careful about rounding and underflow when using the the inverse CDF method. Duncan Murdoch I think perusal of this paper might be a good idea: Sampling Truncated Normal, Beta, and Gamma Densities Paul Damien and Stephen G. Walker Journal of Computational and Graphical Statistics, Vol. 10, No. 2 (Jun., 2001), pp. 206-215 Remembering that the inverse gamma is the inverse of a gamma, you may be able to get a truncated inverse gamma from a truncated (at the other end) gamma. Alternatively, the methodology outlined in the paper most likely can be modified for the inverse gamma. David Scott While David Scott's reply definitely gives a more problem specific solution than we could offer, you might also want to look at package distr on CRAN where a general truncation operator for distributions is provided --- see ?Truncate (after installing/attaching package distr). The inverse Gamma so far is not implemented to distr as an S4-class (you could easily do this yourself, though). But, as David Scott mentioned you can produce it by something along the lines require(distr) G0 - Gammad(scale = 2.3, shape = 1.4) ## generates a Gamma distribution G - 1/G0 ## the corresponding inverse Gamma d(G)(2) ### density of G at 2 p(G)(4) ## cdf of G at 4 ... ## example for Truncated G TG - Truncate(G, lower=0, upper=0.9) ## the lower=0 is somehow redundant in this case, will see if this ## can be set automatically in a next release.. q(TG)(0.99) ## upper 1% quantile ## and some functionals: require(distrEx) E(TG) mad(TG) sd(TG) ## I am not claiming that this code gives extremely accurate results, ## but for higher accuracy, you could easily overload operator / for ## operands numeric, Gammad (and if you like, correspondingly, ## write methods for E()) Note that our package even takes into account that you might want to use log-scales if you are interested in the tails, so it takes up Duncan Murdoch's comment in some sense, automatically. Best, Peter __ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
[R] how can generate from trunceted gamma distribution in R ?
Hi, all How can generate a sample from truncated inverse gamma distribution in R? thanks __ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
Re: [R] how can generate from trunceted gamma distribution in R ?
One approach is to sample from a non-truncated inverse gamma, then if the observation is in the part you want truncated, throw it away and generate a new value. -- Gregory (Greg) L. Snow Ph.D. Statistical Data Center Intermountain Healthcare greg.s...@imail.org 801.408.8111 -Original Message- From: r-help-boun...@r-project.org [mailto:r-help-boun...@r- project.org] On Behalf Of khaz...@ceremade.dauphine.fr Sent: Friday, December 11, 2009 5:12 AM To: r-help@r-project.org Subject: [R] how can generate from trunceted gamma distribution in R ? Hi, all How can generate a sample from truncated inverse gamma distribution in R? thanks __ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting- guide.html and provide commented, minimal, self-contained, reproducible code. __ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
Re: [R] how can generate from trunceted gamma distribution in R ?
On 11/12/2009 7:12 AM, khaz...@ceremade.dauphine.fr wrote: Hi, all How can generate a sample from truncated inverse gamma distribution in R? Using the inverse CDF method or rejection sampling are possible, depending on what your truncation is like. If your truncation forces the observations far out into the tails, you need to be careful about rounding and underflow when using the the inverse CDF method. Duncan Murdoch thanks __ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. __ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.