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:

Other contributors:

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:


[Package truncnormbayes version 0.0.3 Index]