Closed form expression of the multivariate standard Normal distribution under a weighted sum constraint

19 Jan 2018  ·  Vrins Frédéric ·

In this letter we derive the $(n-1)$-dimensional distribution corresponding to a $n$-dimensional i.i.d. Normal standard vector $Z=(Z_1,Z_2,\ldots,Z_n)$ subjected to the weighted sum constraint $\sum_{i=1}^n w_i Z_i=c$, $w_i\neq 0$... We first address the $n=2$ case before proceeding with the general $n\geq 2$ case. The resulting distribution is a Normal distribution whose mean vector $\mu$ and covariance matrix $\Sigma$ are explicitly derived as a function of $w_1,\ldots,w_n,c$. The derivation of the density relies on a very specific positive definite matrix for which the determinant and inverse can be computed analytically. read more

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Probability