Vicky Landsman wrote:
Thanks to Prof. Ripley, Kjetil and Spencer Graves for help.
I will be more specific.
I have to simulate a bivariate lognormal pair (Y1,Y0) where E(Y1)=X'b,
E(Y0)=X'd, Var(Y1)=c1, Var(Y0)=c0,
X is a data matrix, and b and d are vectors of parameters.
Vicky.
You did'nt specify the dependence!
Kjetil
----- Original Message ----- From: "Spencer Graves"
<[EMAIL PROTECTED]>
To: "Prof Brian Ripley" <[EMAIL PROTECTED]>
Cc: "Vicky Landsman" <[EMAIL PROTECTED]>; "R-help list"
<R-help@stat.math.ethz.ch>
Sent: Friday, March 25, 2005 4:40 PM
Subject: Re: [R] Bivariate lognormal distribution
I hope Professor Ripley will correct me if I'm mistaken, but the
documentation for "mvrnorm" in library(MASS) says it will, "Simulate
from a Multivariate Normal Distribution". If you want the density
function or probabilities or quantiles, you can get those from
library(mvtnorm).
Just for completeness, to use normal for a lognormal, you need
to take the logarithms of your number (which must be all positive;
zeros and negative numbers become NA), then compute mean vector and
variance matrix of the logs, compute probabilities on the log scale,
then back transform by exponentiating to get the results back into
the original scale.
hope this helps. spencer graves
Prof Brian Ripley wrote:
On Thu, 24 Mar 2005, Vicky Landsman wrote:
Is there a package that enables to create the bivariate log-normal
variables?
Just exponentiate each of a bivariate normal pair. You can get the
latter from mvrnorm in package MASS.
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