Numerical Reconstruction of the Covariance Matrix of a Spherically Truncated Multinormal Distribution
We relate the matrix SB of the second moments of a spherically truncated normal multivariate to its full covariance matrix Σ and present an algorithm to invert the relation and reconstruct Σ from SB. While the eigenvectors of Σ are left invariant by the truncation, its eigenvalues are nonuniformly d...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2017-01-01
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| Series: | Journal of Probability and Statistics |
| Online Access: | http://dx.doi.org/10.1155/2017/6579537 |
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