2022-08-11T12:02:14 n20044

MATLAB code and output files for integral, mean and covariance of the simplex-truncated multivariate normal distribution

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Compositional data, which is data consisting of fractions or probabilities, is common in many fields including ecology, economics, physical science and political science. If these data would otherwise be normally distributed, their spread can be conveniently represented by a multivariate normal distribution truncated to the non-negative space under a unit simplex. Here this distribution is called the simplex-truncated multivariate normal distribution. For calculations on truncated distributions, it is often useful to obtain rapid estimates of their integral, mean and covariance; these quantities characterising the truncated distribution will generally possess different values to the corresponding non-truncated distribution. 

In the paper "Adams, Matthew (2022) Integral, mean and covariance of the simplex-truncated multivariate normal distribution. PLoS One, 17(7), Article number: e0272014. https://eprints.qut.edu.au/233964/", three different approaches that can estimate the integral, mean and covariance of any simplex-truncated multivariate normal distribution are described and compared. These three approaches are (1) naive rejection sampling, (2) a method described by Gessner et al. that unifies subset simulation and the Holmes-Diaconis-Ross algorithm with an analytical version of elliptical slice sampling, and (3) a semi-analytical method that expresses the integral, mean and covariance in terms of integrals of hyperrectangularly-truncated multivariate normal distributions, the latter of which are readily computed in modern mathematical and statistical packages. Strong agreement is demonstrated between all three approaches, but the most computationally efficient approach depends strongly both on implementation details and the dimension of the simplex-truncated multivariate normal distribution.

This dataset consists of all code and results for the associated article. 

Publications

Adams, Matthew (2022) Integral, mean and covariance of the simplex-truncated multivariate normal distribution. PLoS One, 17(7), Article number: e0272014. https://eprints.qut.edu.au/233964/

Research areas

Statistics

Cite this collection

Adams, Matthew; (2022): All code and results for the article Integral, mean and covariance of the simplex-truncated multivariate normal distribution. Queensland University of Technology. (Software) https://doi.org/10.25912/RDF_1660176734022

Data file types

MATLAB script files (*.m), MATLAB data files (*.mat), and output figures (*.png).

Licence


Creative Commons Attribution 4.0 (CC-BY)
http://creativecommons.org/licenses/by/4.0/

Copyright

© Queensland University of Technology, 2022.

Dates of data collection

From 2022-03-14 to 2022-07-22

Connections

Has chief investigator
Matthew Adams  (Researcher)

Contacts

Name: Dr Matthew Adams
Phone: +61 7 3138 2973

Other

Date record created:
2022-07-25T17:13:11
Date record modified:
2022-08-11T12:02:14
Record status:
Published - Open Access