>>>>> David Winsemius <dwinsem...@comcast.net>
>>>>> on Tue, 9 May 2017 14:33:04 -0700 writes:
>> On May 9, 2017, at 2:05 PM, Czarek Kowalski <czarek230...@gmail.com>
wrote:
>>
>> I have already posted that in attachement - pdf file.
> I see that now. I failed to scroll to the 3rd page.
from a late reader:
Please, Czarek, and every other future reader: This is an
unwritten "regulation" about all R lists I know (a few of which
I co-maintain):
___> R code must be given as unformatted plain text rather than
___> in a formatted document (pdf in your case)
>> I am posting plain text here:
good .. and please do always on these lists
Martin Maechler, ETH Zurich & R Core
>>
>>> library(tmvtnorm)
>>> meann = c(55, 40, 50, 35, 45, 30)
>>> covv = matrix(c( 1, 1, 0, 2, -1, -1,
>> 1, 16, -6, -6, -2, 12,
>> 0, -6, 4, 2, -2, -5,
>> 2, -6, 2, 25, 0, -17,
>> -1, -2, -2, 0, 9, -5,
>> -1, 12, -5, -17, -5, 36), 6, 6)
>> df = 4
>> lower = c(20, 20, 20, 20, 20, 20)
>> upper = c(60, 60, 60, 60, 60, 60)
>> X1 <- rtmvt(n=100000, meann, covv, df, lower, upper)
>>
>>
>>> sum(X1[,1]) / 100000
>> [1] 54.98258
>> sum(X1[,2]) / 100000
>> [1] 40.36153
>> sum(X1[,3]) / 100000
>> [1] 49.83571
>> sum(X1[,4]) / 100000
>> [1] 34.69571 # "4th element of mean vector"
>> sum(X1[,5]) / 100000
>> [1] 44.81081
>> sum(X1[,6]) / 100000
>> [1] 31.10834
>>
>> And corresponding results received using equation (3) from pdf file:
>> [54.97,
>> 40,
>> 49.95,
>> 35.31, # "4th element of mean vector"
>> 44.94,
>> 31.32]
>>
> I get similar results for the output from your code,
> My 100-fold run of your calculations were:
> meansBig <- replicate(100, {Xbig <- rtmvt(n=100000, meann, covv, df,
lower, upper)
> colMeans(Xbig)} )
> describe(meansBig[4,]) # describe is from Hmisc package
> meansBig[4, ]
> n missing distinct Info Mean Gmd .05 .10 .25
> 100 0 100 1 34.7 0.01954 34.68 34.68
34.69
> .50 .75 .90 .95
> 34.70 34.72 34.72 34.73
> lowest : 34.65222 34.66675 34.66703 34.66875 34.67566
> highest: 34.72939 34.73012 34.73051 34.73742 34.74441
> So agree, 35.31 is outside the plausible range of an RV formed with that
package, but I don't have any code relating to your calculations from theory.
> Best;
> David.
>> On 9 May 2017 at 22:17, David Winsemius <dwinsem...@comcast.net> wrote:
>>>
>>>> On May 9, 2017, at 1:11 PM, Czarek Kowalski <czarek230...@gmail.com>
wrote:
>>>>
>>>> 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).
>>>
>>> I for one have no idea what is meant by a "4th element of mean vector".
So I have now idea what to consider "big". I have found that my intuitions
about multivariate distributions, especially those where the covariate
structure is as complex as you have assumed, are often far from simulated
results.
>>>
>>> I suggest you post some code and results.
>>>
>>> --
>>> David.
>>>
>>>
>>>>
>>>> On 9 May 2017 at 21:40, David Winsemius <dwinsem...@comcast.net> wrote:
>>>>>
>>>>> On May 9, 2017, at 10:09 AM, 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?
>>>>>
>>>>> 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>______________________________________________
>>>>> 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.
>>>>>
>>>>> David Winsemius
>>>>> Alameda, CA, USA
>>>>>
>>>
>>> David Winsemius
>>> Alameda, CA, USA
>>>
> David Winsemius
> Alameda, CA, USA
> ______________________________________________
> 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.
______________________________________________
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