Title: | Computes Moments of Univariate Truncated t Distribution |
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Description: | Computes moments of univariate truncated t distribution. There is only one exported function, e_trunct(), which should be seen for details. |
Authors: | Matthew Stephens |
Maintainer: | Matthew Stephens <[email protected]> |
License: | MIT + file LICENSE |
Version: | 0.1 |
Built: | 2024-11-04 21:42:41 UTC |
Source: | https://github.com/stephens999/etrunct |
Compute moments of univariate truncated t distribution
e_trunct(a, b, df, r)
e_trunct(a, b, df, r)
a |
the left end of the truncation interval |
b |
the right end of the truncation interval |
df |
the degrees of freedom of the t distribution |
r |
the degree of moment to compute |
This function computes the r-th moment of the univariate t distribution on df degrees of freedom, truncated to the interval (a,b). If parameters are vectors then the r[i]th moment is computed for each (a[i],b[i],v[i]) The methods are based on results in O'Hagan (1973) and work for df>r. Otherwise NaN is returned.
O'Hagan, A. (1973) Bayes estimation of a convex quadratic. Biometrika 60 (3).
e_trunct(-3,3,3,2) # second moment of t distribution on 3df truncated to (-3,3) e_trunct(-2,2,4,1) # first moment, should be 0 by symmetry e_trunct(c(-3,-2),c(3,2),c(3,4),c(2,1)) # the function is vectorized
e_trunct(-3,3,3,2) # second moment of t distribution on 3df truncated to (-3,3) e_trunct(-2,2,4,1) # first moment, should be 0 by symmetry e_trunct(c(-3,-2),c(3,2),c(3,4),c(2,1)) # the function is vectorized