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

ricardoV94 May 30, 2025, 7:55am 8

Right, but here it’s one extra variable per observed censored data-point

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Truncated multivariate normal likelihood

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