A mass-shifting phenomenon of truncated multivariate normal priors

Shuang Zhou, Pallavi Ray, Debdeep Pati & Anirban Bhattacharya
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. The phenomenon accentuates with stronger correlation between the random variables. This surprising behavior has serious implications towards Bayesian constrained estimation and inference, where the prior, in addition to having...
1 citation reported since publication in 2022.
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