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".
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)