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
_________________________________________________________________
David Scott Department of Statistics
The University of Auckland, PB 92019
Auckland 1142, NEW ZEALAND
Phone: +64 9 923 5055, or +64 9 373 7599 ext 85055
Email: d.sc...@auckland.ac.nz, Fax: +64 9 373 7018
Director of Consulting, Department of Statistics
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