On Thu, Sep 13, 2012 at 05:02:54PM -0400, li li wrote:
> Dear all,
> Y, X are bivariate normal with all the parameters known.
> I would like to generate numbers from the distribution Y | X > c
> where c is a constant.
> Does there exist an R function generating
> random numbers from such a distribution?
Hi.
One of the options, how to generate such numbers, is the rejection
method. This works well, if Pr(X > c) is not too small, but may be
very bad otherwise.
For generating a single number, try the following
library(mvtnorm)
sigma <- rbind(c(3, 1), c(1, 2))
cc <- 2
while (1) {
v <- rmvnorm(1, sigma=sigma)
if (v[2] > cc) break
}
x <- v[1]
For a larger number, try something like the following
n <- 500
for (k in 2^(1:10)) {
v <- rmvnorm(k*n, sigma=sigma)
x <- v[v[, 2] > cc, 1]
if (length(x) >= n) break
}
stopifnot(length(x) >= n)
x <- x[1:n]
Hope this helps.
Petr Savicky.
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