The Soft Multivariate Truncated Normal Distribution
Year: 2018
Type: preprint
Abstract: We propose a new distribution, called the soft tMVN distribution, which provides a smooth approximation to the truncated multivariate normal (tMVN) distribution with linear constraints. An efficient blocked Gibbs sampler is developed to sample from the soft tMVN distribution in high dimensions. We provide theoretical support to the approximation capability of the soft tMVN and provide further empirical evidence thereof. The soft tMVN distribution can be used to approximate simulations from a multivariate truncated normal distribution with linear constraints, or itself as a prior in shape-constrained problems.
Source: arXiv (Cornell University)
Language: English
Subfield: Statistics and Probability
Field: Mathematics
Domain: Physical Sciences
Open Access status: green
OpenAlex ID: W2884068690