Truncated distribution

In statistics, a truncated distribution is a conditional

distribution that results from restricting the domain of some
Truncated Distribution
other probability distribution. Truncated distributions arise in Probability density function
practical statistics in cases where the ability to record, or even
to know about, occurrences is limited to values which lie
above or below a given threshold or within a specified range.
For example, if the dates of birth of children in a school are
examined, these would typically be subject to truncation
relative to those of all children in the area given that the school
accepts only children in a given age range on a specific date.
There would be no information about how many children in
the locality had dates of birth before or after the school's cutoff
dates if only a direct approach to the school were used to
obtain information.

Where sampling is such as to retain knowledge of items that Probability density function for the
fall outside the required range, without recording the actual truncated normal distribution for
values, this is known as censoring, as opposed to the different sets of parameters. In all
truncation here.[1] cases, a = −10 and b = 10. For the
black: μ = −8, σ = 2; blue: μ = 0, σ = 2;
Definition red: μ = 9, σ = 10; orange: μ = 0, σ = 10.
Support
The following discussion is in terms of a random variable PDF
having a continuous distribution although the same ideas
apply to discrete distributions. Similarly, the discussion
assumes that truncation is to a semi-open interval y ∈ (a,b] but CDF
other possibilities can be handled straightforwardly.
Mean
Suppose we have a random variable, that is distributed
according to some probability density function, , with
cumulative distribution function both of which have Median
infinite support. Suppose we wish to know the probability
density of the random variable after restricting the support to
be between two constants so that the support, . That is to say, suppose we wish to know how
is distributed given .

where for all and everywhere else. That is,

where is the indicator function. Note that the denominator in the
truncated distribution is constant with respect to the .

Notice that in fact is a density:

 .

Truncated distributions need not have parts removed from the top and bottom. A truncated distribution
where just the bottom of the distribution has been removed is as follows:

where for all and everywhere else, and is the cumulative distribution
function.

A truncated distribution where the top of the distribution has been removed is as follows:

where for all and everywhere else, and is the cumulative distribution
function.

Expectation of truncated random variable

Suppose we wish to find the expected value of a random variable distributed according to the density
and a cumulative distribution of given that the random variable, , is greater than some known value
. The expectation of a truncated random variable is thus:

where again is for all and everywhere else.

Letting and be the lower and upper limits respectively of support for the original density function
(which we assume is continuous), properties of , where is some continuous function
with a continuous derivative, include:

1.

2.

3.

and

1.
 2.

Provided that the limits exist, that is: , and where

represents either or .

Examples
The truncated normal distribution is an important example.[2]

The Tobit model employs truncated distributions. Other examples include truncated binomial at x=0 and
truncated poisson at x=0.

Random truncation
Suppose we have the following set up: a truncation value, , is selected at random from a density, , but
this value is not observed. Then a value, , is selected at random from the truncated distribution,
. Suppose we observe and wish to update our belief about the density of given the
observation.

First, by definition:

, and

Notice that must be greater than , hence when we integrate over , we set a lower bound of . The
functions and are the unconditional density and unconditional cumulative distribution function,
respectively.

By Bayes' rule,

which expands to

Two uniform distributions (example)

Suppose we know that t is uniformly distributed from [0,T] and x|t is distributed uniformly on [0,t]. Let g(t)
and f(x|t) be the densities that describe t and x respectively. Suppose we observe a value of x and wish to
know the distribution of t given that value of x.
See also
Truncated mean

References
1. Dodge, Y. (2003) The Oxford Dictionary of Statistical Terms. OUP. ISBN 0-19-920613-9
2. Johnson, N.L., Kotz, S., Balakrishnan, N. (1994) Continuous Univariate Distributions,
Volume 1, Wiley. ISBN 0-471-58495-9 (Section 10.1)

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