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From |
"Martin Weiss" <martin.weiss1@gmx.de> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
st: RE: RE: iid draw from a truncated normal distribution |

Date |
Mon, 22 Sep 2008 15:48:55 +0200 |

Did you mean "P(z>2 | mean=0, sd=0.5)"? For the standard normal, values bigger than 2 are not that uncommom ********** di in red 1-normal(2) .02275013 ********** HTH Martin -----Original Message----- From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Steichen, Thomas J. Sent: Monday, September 22, 2008 3:30 PM To: 'statalist@hsphsun2.harvard.edu' Subject: st: RE: iid draw from a truncated normal distribution P(z>2 | mean=0, sd=1) = .000031 (about 3 in 100,000). Thus it is quite unlikely that the extremes in a sample of 10,000 will approach or exceed +/- 2. So, your truncation points are not shifted; rather, they are so extreme as to be seldom reached (thus the _apparent_ truncation points will be well within +/- 2). ----------------------------------- Thomas J. Steichen steicht@rjrt.com ----------------------------------- -----Original Message----- From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Alexander Kalb Sent: Monday, September 22, 2008 9:18 AM To: statalist@hsphsun2.harvard.edu Subject: st: iid draw from a truncated normal distribution I would like to create an iid draw form a truncated normal distribution (on the left and right side) with standard deviation 0.5 (in the untruncated case). I tried the following commands: set obs 10000 gen c = -2 /*left truncation point*/ gen d = 2 /*right truncation point*/ gen stdv = 0.5 /*standard deviation*/ gen v = uniform() gen c_bar = c/stdv gen d_bar = d/stdv gen v_bar = (normal(c_bar) + (normal(d_bar) - normal(c_bar))*v) gen u = stdv*invnorm(v_bar) This seems to work but it shifts the truncation points below 2 and above -2. Has anybody an idea how I can get an iid draw (with standard deviaton of 0.5 in the untruncated case) which does not shift the truncation points? Zentrum für Europäische Wirtschaftsforschung GmbH (ZEW) Centre for European Economic Research L 7, 1 · 68161 Mannheim · Germany Sitz der Gesellschaft: Mannheim · Amtsgericht Mannheim HRB 6554 Aufsichtsratsvorsitzender: Gerhard Stratthaus MdL, Finanzminister a.D. Geschaeftsfuehrer: Prof. Dr. Dr. h.c. mult. Wolfgang Franz, Thomas Kohl ------------------------------------------------------------------------ * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/ CONFIDENTIALITY NOTE: This e-mail message, including any attachment(s), contains information that may be confidential, protected by the attorney-client or other legal privileges, and/or proprietary non-public information. If you are not an intended recipient of this message or an authorized assistant to an intended recipient, please notify the sender by replying to this message and then delete it from your system. Use, dissemination, distribution, or reproduction of this message and/or any of its attachments (if any) by unintended recipients is not authorized and may be unlawful. * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**st: RE: RE: RE: iid draw from a truncated normal distribution***From:*"Steichen, Thomas J." <SteichT@RJRT.com>

**References**:**st: iid draw from a truncated normal distribution***From:*"Alexander Kalb" <kalb@zew.de>

**st: RE: iid draw from a truncated normal distribution***From:*"Steichen, Thomas J." <SteichT@RJRT.com>

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