Integral, mean and covariance of the simplex-truncated multivariate normal distribution

TL;DR

This paper compares three methods for estimating the integral, mean, and covariance of the simplex-truncated multivariate normal distribution, highlighting their efficiency and accuracy across different dimensions.

Contribution

It introduces and evaluates three approaches for calculating key properties of the simplex-truncated multivariate normal distribution, aiding practical computations in various fields.

Findings

Strong agreement among methods in results

Semi-analytical method is fastest in low dimensions

Gessner et al. method is most efficient in high dimensions

Abstract

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 this paper, 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. For computations in low-dimensional distributions, the semi-analytical method is fast and thus should be considered. As the dimension increases, the Gessner et al. method becomes the only practically efficient approach of the methods tested here.