Hi, I conduct a panel data estimation and obtain estimators for two of the coefficients beta1 and beta2. R tells me the mean and covariance of the distribution of (beta1, beta2). Now I would like to find the distribution of the quotient beta1/beta2, and one way to do it is to simulate via the joint distribution (beta1, beta2), where both beta1 and beta2 follow t distribution. How could we generate a joint t distrubuition in R? Thanks Miao [[alternative HTML version deleted]]
Dear Miao, Check require(MASS) ?mvrnorm for some ideas. HTH, Jorge.- On Wed, Apr 3, 2013 at 4:57 PM, jpm miao <> wrote:> Hi, > > I conduct a panel data estimation and obtain estimators for two of the > coefficients beta1 and beta2. R tells me the mean and covariance of the > distribution of (beta1, beta2). Now I would like to find the distribution > of the quotient beta1/beta2, and one way to do it is to simulate via the > joint distribution (beta1, beta2), where both beta1 and beta2 follow t > distribution. > > How could we generate a joint t distrubuition in R? > > Thanks > > Miao > > [[alternative HTML version deleted]] > > ______________________________________________ > R-help@r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide > http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. >[[alternative HTML version deleted]]
Le 03/04/13 07:57, jpm miao a ?crit :> Hi, > > I conduct a panel data estimation and obtain estimators for two of the > coefficients beta1 and beta2. R tells me the mean and covariance of the > distribution of (beta1, beta2). Now I would like to find the distribution > of the quotient beta1/beta2, and one way to do it is to simulate via the > joint distribution (beta1, beta2), where both beta1 and beta2 follow t > distribution. > > How could we generate a joint t distrubuition in R? > > Thanks > > Miao > > [[alternative HTML version deleted]] > > ______________________________________________ > R-help at r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. >library("fCopulae") ?rmvst Sincerely Marc Girondot -- __________________________________________________________ Marc Girondot, Pr Laboratoire Ecologie, Syst?matique et Evolution Equipe de Conservation des Populations et des Communaut?s CNRS, AgroParisTech et Universit? Paris-Sud 11 , UMR 8079 B?timent 362 91405 Orsay Cedex, France Tel: 33 1 (0)1.69.15.72.30 Fax: 33 1 (0)1.69.15.73.53 e-mail: marc.girondot at u-psud.fr Web: http://www.ese.u-psud.fr/epc/conservation/Marc.html Skype: girondot
David Winsemius
2013-Apr-03 14:58 UTC
[R] Generating a bivariate joint t distribution in R
On Apr 2, 2013, at 11:07 PM, Jorge I Velez wrote:> Dear Miao, > > Check > > require(MASS) > ?mvrnorm >Also package mvtnorm has both Normal and t versions of its p,q, r funtions> for some ideas. > > HTH, > Jorge.- > > > On Wed, Apr 3, 2013 at 4:57 PM, jpm miao <> wrote: > >> Hi, >> >> I conduct a panel data estimation and obtain estimators for two of the >> coefficients beta1 and beta2. R tells me the mean and covariance of the >> distribution of (beta1, beta2). Now I would like to find the distribution >> of the quotient beta1/beta2, and one way to do it is to simulate via the >> joint distribution (beta1, beta2), where both beta1 and beta2 follow t >> distribution. >> >> How could we generate a joint t distrubuition in R? >> >> Thanks >> >> Miao >David Winsemius Alameda, CA, USA