Mass-shifting phenomenon of truncated multivariate normal priors

19 May 2020 Zhou Shuang Ray Pallavi Pati Debdeep Bhattacharya Anirban

We show that lower-dimensional marginal densities of dependent zero-mean normal distributions truncated to the positive orthant exhibit a mass-shifting phenomenon. Despite the truncated multivariate normal density having a mode at the origin, the marginal density assigns increasingly small mass near the origin as the dimension increases... (read more)

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  • STATISTICS THEORY
  • STATISTICS THEORY