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math.ST2012★ 1 cited
A perturbative approach to the reconstruction of the eigenvalue spectrum of a normal covariance matrix from a spherically truncated counterpart
Filippo Palombi, Simona Toti
In this paper we propose a perturbative method for the reconstruction of the covariance matrix of a multinormal distribution, under the assumption that the only available informati…
math.ST2012★ 1 cited
Numerical reconstruction of the covariance matrix of a spherically truncated multinormal distribution
Filippo Palombi, Simona Toti, Romina Filippini
In this paper we relate the matrix of the second moments of a spherically truncated normal multivariate to its full covariance matrix and present an algorithm to invert t…