Tobit: The Tobit Distribution

Description

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

Usage

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)
rtobit(n, mean = 0, sd = 1, Lower = 0, Upper = Inf)

Arguments

x, q

vector of quantiles.

vector of probabilities.

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.

Value

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

Details

See tobit, the VGAM family function for estimating the parameters, for details. Note that the density at Lower and Upper is the value of dnorm evaluated there plus the area to the left/right of that point too. Thus there are two spikes; see the example below.

Examples

Run this code

m <- 0.5; x <- seq(-2, 4, len = 501)
Lower <- -1; Upper <- 2.5
plot(x, ptobit(x, m = m, Lower = Lower, Upper = Upper),
     type = "l", ylim = 0:1, las = 1, col = "orange",
     ylab = paste("ptobit(m = ", m, ", 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 = m, Lower = Lower, Upper = Upper), col = "blue")

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

endpts <- c(Lower, Upper) # Endpoints have a spike
lines(endpts, dtobit(endpts, m = m, Lower = Lower, Upper = Upper),
      col = "blue", lwd = 2, type = "h")