R-help follow-up: truncated exponential

June 16, 2010
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(This article was first published on BioStatMatt » R, and kindly contributed to R-bloggers)

I recently posted the message below with regard to sampling from the truncated exponential distribution. I left out the derivation of the CDF (mostly because text math is ugly), so I’ve included it here. There is also a short JSS article about truncated distributions in R. This problem in particular may likely be found in an introductory text on survival analysis or probability theory.

Where t is the level of truncation and mu is the rate, the normalization constant K(t) is given by

 K(t)^{-1} = int_0^t e^{-mu t} dt = frac{1}{mu} (1-e^{-mu t}).

The truncated exponential CDF is then

 F(x) = K(t)^{-1}int_0^x e^{-mu x} dx = frac{(1-e^{-mu x})}{(1-e^{-mu t})}.

Solving for the inverse CDF yields the itexp function below. From the R-help list:

Since there is a simple closed form for the truncated exponential CDF, you can use inverse transform sampling. I believe this is quite common in survival analysis methods. The first step is to compute and write an R function to compute the inverse CDF for the truncated exponential, say

itexp <- function(u, m, t) { -log(1-u*(1-exp(-t*m)))/m }

where u is the quantile, m is the rate, and t is the level of truncation. Next, we draw from the truncated exponential with something like

rtexp <- function(n, m, t) { itexp(runif(n), m, t) }

To leave a comment for the author, please follow the link and comment on their blog: BioStatMatt » R.

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