Hello, I am trying to fit the mean and covariance of a 2D normal distribution to some data with the complication that my data is truncated. I only have observations within a window, although the underlying distribution really is normal. Some astronomers had this same problem (among others) while f…

You can’t use scipy code like that in the logp. Someone tried to implement it as PyTensor code a while ago, but it got abandoned: Added MVN_cdf.py by JessSpearing · Pull Request #60 · pymc-devs/pymc-extras · GitHub Importantly you’ll also want gradients, so that you can use NUTS.

Truncated multivariate normal likelihood

Questions v5

jessegrabowski May 30, 2025, 4:46am 6

I quite like this plot @drbenvincent made for this notebook on censored/truncated GLMs, to visualize the difference:

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Truncated multivariate normal likelihood

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