The Tobit Distribution

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Description

Density, distribution function, quantile function and random generation for the Tobit model.

Usage

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dtobit(x, mean = 0, sd = 1, Lower = 0, Upper = Inf, log = FALSE)
ptobit(q, mean = 0, sd = 1, Lower = 0, Upper = Inf,
       lower.tail = TRUE, log.p = FALSE)
qtobit(p, mean = 0, sd = 1, Lower = 0, Upper = Inf,
       lower.tail = TRUE, log.p = FALSE)
rtobit(n, mean = 0, sd = 1, Lower = 0, Upper = Inf)

Arguments

x, q

vector of quantiles.

p

vector of probabilities.

n

number of observations. If length(n) > 1 then the length is taken to be the number required.

Lower, Upper

vector of lower and upper thresholds.

mean, sd, lower.tail, log, log.p

see rnorm.

Details

See tobit, the VGAM family function for estimating the parameters, for details. Note that the density at Lower and Upper is the the area to the left and right of those points. Thus there are two spikes (but less in value); see the example below. Consequently, dtobit(Lower) + dtobit(Upper) + the area in between equals unity.

Value

dtobit gives the density, ptobit gives the distribution function, qtobit gives the quantile function, and rtobit generates random deviates.

Author(s)

T. W. Yee

See Also

tobit, rnorm.

Examples

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mu <- 0.5; x <- seq(-2, 4, by = 0.01)
Lower <- -1; Upper <- 2.0

integrate(dtobit, lower = Lower, upper = Upper,
          mean = mu, Lower = Lower, Upper = Upper)$value +
dtobit(Lower, mean = mu, Lower = Lower, Upper = Upper) +
dtobit(Upper, mean = mu, Lower = Lower, Upper = Upper)  # Adds to unity

## Not run:  
plot(x, ptobit(x, m = mu, Lower = Lower, Upper = Upper),
     type = "l", ylim = 0:1, las = 1, col = "orange",
     ylab = paste("ptobit(m = ", mu, ", sd = 1, Lower =", Lower,
                  ", Upper =", Upper, ")"),
     main = "Orange is cumulative distribution function; blue is density",
     sub = "Purple lines are the 10,20,...,90 percentiles")
abline(h = 0)
lines(x, dtobit(x, m = mu, Lower = Lower, Upper = Upper), col = "blue")

probs <- seq(0.1, 0.9, by = 0.1)
Q <- qtobit(probs, m = mu, Lower = Lower, Upper = Upper)
lines(Q, ptobit(Q, m = mu, Lower = Lower, Upper = Upper),
      col = "purple", lty = "dashed", type = "h")
lines(Q, dtobit(Q, m = mu, Lower = Lower, Upper = Upper),
      col = "darkgreen", lty = "dashed", type = "h")
abline(h = probs, col = "purple", lty = "dashed")
max(abs(ptobit(Q, m = mu, Lower = Lower, Upper = Upper) - probs))  # Should be 0

endpts <- c(Lower, Upper)  # Endpoints have a spike (not quite, actually)
lines(endpts, dtobit(endpts, m = mu, Lower = Lower, Upper = Upper),
      col = "blue", lwd = 3, type = "h")

## End(Not run)

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