```Date: Thu, 5 Apr 2001 09:46:31 -0700 Reply-To: Dale McLerran Sender: "SAS(r) Discussion" From: Dale McLerran Subject: Re: How to form expectation of double truncated normal? Comments: To: vanhorn@simon.rochester.edu Content-Type: text/plain Larry, If you have IML licensed, then you can use the QUAD function to perform this integration. The QUAD function has been available since version 6.11. Chances are that you have access to a version of SAS at least that new. The more limiting factor will be whether you have IML licensed. To use the QUAD function, you must first define an IML function which expresses the integrand. For your normal distribution truncated mean problem, a function for the integrand x*f(x) would be start trncnorm(x) global(mu,sigma); integrnd = x * (1/(sqrt(2*3.1415926) * sigma)) * exp(-.5*(((x - mu)/sigma)**2)); return(integrnd); finish; The QUAD function call would then be invoked mu=; sigma=; call quad(trncmean, "trncnorm", {lowlim highlim}, , mu, sigma); The variable trncmean will hold the results of the integration upon return. One does not necessarily have to specify mu and sigma in the QUAD call above. However, specification of these parameters should improve the performance of the integration. There are a couple of options which I have not employed above. You should read the documentation on the QUAD function before you actually go ahead with its use. Dale >Date: Thu, 5 Apr 2001 04:24:45 GMT >Reply-To: vanhorn@simon.rochester.edu >From: vanhorn@simon.rochester.edu >Subject: How to form expectation of double truncated normal? >To: SAS-L@LISTSERV.UGA.EDU > >Folks, >I need to calculate the expectation of a double truncated normal. For >example the integral of x f(x) dx given upper and lower limits. Is >there an easy way to do this in SAS? >TIA, >Larry --------------------------------------- Dale McLerran Fred Hutchinson Cancer Research Center mailto: dmclerra@fhcrc.org Ph: (206) 667-2926 Fax: (206) 667-5977 --------------------------------------- ------------------------------------------------------------ --== Sent via Deja.com ==-- http://www.deja.com/ ```

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