Non-Steepness and Maximum Likelihood Estimation Properties of the Truncated Multivariate Normal Distributions

arXiv2303.10287MaRDI QIDQ6430007FDOQ6430007

Authors: Michael Levine, Donald Richards, Jianxi Su 

Publication date: 17 March 2023

Abstract: We consider the truncated multivariate normal distributions for which every component is one-sided truncated. We show that this family of distributions is an exponential family. We identify $mathcalD$, the corresponding natural parameter space, and deduce that the family of distributions is not regular. We prove that the gradient of the cumulant-generating function of the family of distributions remains bounded near certain boundary points in $mathcalD$, and therefore the family also is not steep. We also consider maximum likelihood estimation for $$, the location vector parameter, and $$, the positive definite (symmetric) matrix dispersion parameter, of a truncated non-singular multivariate normal distribution. We prove that each solution to the score equations for $$ satisfies the method-of-moments equations, and we obtain a necessary condition for the existence of solutions to the score equations.

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Estimation in multivariate analysis (62H12) Characterization and structure theory of statistical distributions (62E10)

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