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truncnormbayes provides functionality to estimate mean
and standard deviation for a truncated normal distribution.
Specifically, this package 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, F. J., & Tucker, A. H. (2014). Bayesian estimation of truncated data with applications to operational risk measurement. Quantitative Finance, 14(5), 863-888. DOI 10.1080/14697688.2012.752103]. This package additionally allows for a doubly truncated normal distribution.
You can install the development version of truncnormbayes from GitHub with:
# install.packages("devtools")
devtools::install_github("leonkt/truncnormbayes")library(truncnormbayes)
# generate data from a truncated normal
x <- truncnorm::rtruncnorm(100, a = -1, b = 2, mean = 0.5, sd = 0.5)
# estimate its paramaeters
trunc_est(x, a = -1, b = 2)These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.
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