truncnormbayes-package {truncnormbayes} | R Documentation |
truncnormbayes: Estimates Moments for a Truncated Normal Distribution using 'Stan'
Description
Finds the posterior modes for the mean and standard deviation for a truncated normal distribution with one or two known truncation points. The method used extends Bayesian methods for parameter estimation for a singly truncated normal distribution under the Jeffreys prior (see Zhou X, Giacometti R, Fabozzi FJ, Tucker AH (2014). "Bayesian estimation of truncated data with applications to operational risk measurement". doi:10.1080/14697688.2012.752103). This package additionally allows for a doubly truncated normal distribution.
Author(s)
Maintainer: Peter Solymos peter@analythium.io (ORCID) [contributor]
Authors:
Mika Braginsky mika.br@gmail.com
Leon Tran leontk@stanford.edu
Other contributors:
Maya Mathur mmathur@stanford.edu [contributor]
References
Zhou X, Giacometti R, Fabozzi FJ, Tucker AH (2014). “Bayesian estimation of truncated data with applications to operational risk measurement.” Quantitative Finance, 14(5), 863–888. doi:10.1080/14697688.2012.752103.
Stan Development Team (2022). “RStan: the R interface to Stan.” R package version 2.21.5. https://mc-stan.org.
See Also
Useful links:
Report bugs at https://github.com/mathurlabstanford/truncnormbayes/issues