truncnormbayes

CRANtruncnormbayesMaRDI QIDQ97143

Estimates Moments for a Truncated Normal Distribution using 'Stan'

Mika Braginsky, Leon Tran

Last update: 23 August 2023

Copyright license: GNU General Public License

Software version identifier: 0.0.2, 0.0.1, 0.0.3

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.

Cites work

• Bayesian estimation of truncated data with applications to operational risk measurement

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