It's not obvious to me that that marginal distribution of one component of a multivariate truncated t is the corresponding univariate truncated t.
In fact, I would expect it to differ because of tail-dependence effects, e.g. > r <- rtmvt(1e5, c(30,0), diag(2), lower=c(29,-Inf), upper=c(31, +Inf), df=4) > sd(r[,2]) [1] 1.191654 > r <- rtmvt(1e5, c(30,0), diag(2), lower=c(35,-Inf), upper=c(37, +Inf), df=4) > sd(r[,2]) [1] 3.504233 -pd > On 9 May 2017, at 19:09 , Czarek Kowalski <czarek230...@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? > Yours faithfully > Czarek Kowalski > <truncatedT.pdf>______________________________________________ > R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see > 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. -- Peter Dalgaard, Professor, Center for Statistics, Copenhagen Business School Solbjerg Plads 3, 2000 Frederiksberg, Denmark Phone: (+45)38153501 Office: A 4.23 Email: pd....@cbs.dk Priv: pda...@gmail.com ______________________________________________ R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see 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.
