Ytukyg

What is the CDF and the PDF (or approximation) of the sum of two truncated gaussian $X = TN_x(mu_x,sigma_x;a_x,b_x)$ and $Y = TN_y(mu_y,sigma_y;a_y,b_y)$ ? where $TN(mu,sigma;a,b)$ is a truncated normal distribution where a and b are the the lower and upper bounds of the truncation respectively.

This is not an easy problem to obtain a closed-form solution to. As always, there are a number of different approaches, but unfortunately many of them seem to yield intractable outcomes. The approach taken here is to proceed manually step-by-step using the Method of Transformations, aided by using a computer algebra system to do the nitty-gritties where that is helpful.

Given: Let:

• $X sim N(mu_1, sigma_1^2)$ be doubly truncated (below and above) at $(a_1, b_1)$, where $0<a_1<b_1$, and




• $Y sim N(mu_2, sigma_2^2)$ be doubly truncated (below and above) at $(a_2, b_2)$, where $0<a_2<b_2$.

Here is an illustrative plot of the doubly truncated Normal pdf, given different parameter values:

Solution

By virtue of independence, the joint pdf of $(X,Y)$, say $f(x,y)$ is the product of the individual pdf's:

where Erf[.] denotes the error function.

Step 1: Let $Z=X+Y$ and $W=Y$. Then, using the Method of Transformations, the joint pdf of $(Z,W)$, say $g(z,w)$, is given by:

where:

• Transform is a function from the mathStatica package for Mathematica, which automates the calculation of the transformation and required Jacobian.




• the transformation $(Z=X+Y, W=Y)$ induces dependency in the domain of support between $Z$ and $W$. In particular, since $X$ is bounded by $(a_1,b_1)$, it follows that $Z=X+Y$ is bounded by $(a_1+W, b_1+W)$. This dependency is captured using the Boole statement in the line above which acts as an indicator function. Because the dependency has been captured into pdf g itself, we can enter the domain of support for pdf g in standard rectangular fashion as:

Step 2: Given the joint pdf $g(z,w)$ just derived, the marginal pdf of $Z$ is:

which yields the 4-part piecewise solution:

... defined subject to the domain of support: $a_1 + a_2 < Z < b_1 + b_2$.

The solution sol appears very small on screen: to view it larger, either open the image in a new window, or click here.

The Marginal computation is far from simple: it takes about 10 minutes of pure computing time to solve on the new R2-D2 Mac Pro.

All done.

Illustrative Plot

Here is a plot of the solution pdf of $Z = X + Y$, for the same parameter values used in the first diagram:

• 
  $(mu_1 = 5, sigma_1 = 2, a_1 = 5, b_1 = 8)$


• 
  $(mu_2 = 1, sigma_2 = 4, a_2 = 7, b_2 = 9)$

Monte Carlo Check

It is always good idea to check symbolic work with a quick Monte Carlo comparison, just to make sure that no mistakes have crept in. Here is a comparison of the empirical pdf (Monte Carlo simulation of the sum of the doubly truncated Normals) [the squiggly blue curve] plotted together with the exact theoretical pdf (sol) derived above [ red dashed curve ].

Looks fine!

Notes

1. The Marginal function used above is also from the mathStatica package for Mathematica. As disclosure, I should add that I am one of the authors of the software used.

OK, I believe the variables are independent. Then let $Phi(x,mu,sigma)$ be normal CDF and $rho(x,mu,sigma)$ it's density
$$
rho(x,mu,sigma)=frac{1}{sqrt{2pi}sigma}e^{-frac{(x-mu)^2}{2sigma^2}}
$$
Thus
$$
P_x(x)=(xle a_x)Phi_(a_x,mu_x,sigma_x)+(a_x < x < b_x)int_{a_x}^x rho(x,mu_x,sigma_x) dx+(x>b_x)(1-Phi(b_x,mu_x,sigma_x))
$$
$$
P_y(y)=(yle a_y)Phi_(a_y,mu_y,sigma_y)+(a_y < y < b_y)int_{a_y}^y rho(y,mu_y,sigma_y) dy+(y>b_y)(1-Phi(b_y,mu_y,sigma_y))
$$
So the mean operator $E$ will look as follows:
$$
E(f(X))=Phi(a_x,mu_x,sigma_x)f(a_x)+int_{a_x}^{b_x} f(x)rho(x,mu_x,sigma_x) dx+f(b_x)(1-Phi(b_x,mu_x,sigma_x))
$$
Now using the formula $P_z(z)=E(P_y(z-X))$ and defining $f(x)=P_y(z-x)$ we can write the following
$$
P_z(z)=Phi(a_x,mu_x,sigma_x)P_y(z-a_x)+int_{a_x}^{b_x} P_y(z-x)rho(x,mu_x,sigma_x) dx+P_y(z-b_x)(1-Phi(b_x,mu_x,sigma_x))
$$
May be going through different inequalities you can simplify this expression, plugging the expression ofr $P_y$ into the last formula.

EDIT
As was noted by wolfies I wrote $P_{x,y}$ for censored variables rather truncated. Thank you for catching me. We can rewrite truncated distribution even simpler:
$$
P_y(y)=frac{1}{Phi(b_y,mu_y,sigma_y)-Phi(a_y,mu_y,sigma_y)}int_{max(y,a_y)}^{min(y,b_y)} rho(y,mu_y,sigma_y) dy =(y>a_y)
frac{Phi(min(y,b_y),mu_y,sigma_y)-Phi(a_y,mu_y,sigma_y)}{Phi(b_y,mu_y,sigma_y)-Phi(a_y,mu_y,sigma_y)}
$$
and
$$
E(f(X))=frac{1}{Phi(b_x,mu_x,sigma_x)-Phi(a_x,mu_x,sigma_x)}int_{a_x}^{b_x} f(x)rho(x,mu_x,sigma_x) dx
$$
So
$$
P_z(z)=frac{1}{Phi(b_x,mu_x,sigma_x)-Phi(a_x,mu_x,sigma_x)}int_{a_x}^{b_x} P_y(z-x)rho(x,mu_x,sigma_x) dx
$$

And finally we have very similar formula for density
$$
rho_z(z)=frac{int_{a_x}^{b_x} (a_y<z-x<b_y)rho(z-x,mu_y,sigma_y)rho(x,mu_x,sigma_x) dx}{(Phi(b_x,mu_x,sigma_x)-Phi(a_x,mu_x,sigma_x))(Phi(b_y,mu_y,sigma_y)-Phi(a_y,mu_y,sigma_y))}
$$

It can be simlified further
$$
rho_z(z)=frac{int_{max(a_x,z-b_y)}^{min(b_x,z-a_y)} rho(z-x,mu_y,sigma_y)rho(x,mu_x,sigma_x) dx}{(Phi(b_x,mu_x,sigma_x)-Phi(a_x,mu_x,sigma_x))(Phi(b_y,mu_y,sigma_y)-Phi(a_y,mu_y,sigma_y))}
$$
The last result almost surely can be completed in $Phi$ terms.