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The Soft Multivariate Truncated Normal Distribution with Applications to Bayesian Constrained Estimation by Souris, Allyson; Bhattacharya, Anirban; Pati, Debdeep is a scholarly article available to read on EtoBox.

What is The Soft Multivariate Truncated Normal Distribution with Applications to Bayesian Constrained Estimation about?

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.

Author

Souris, Allyson; Bhattacharya, Anirban; Pati, Debdeep

Published

2018

Language

EN