A perturbative approach to the reconstruction of the eigenvalue spectrum of a normal covariance matrix from a spherically truncated counterpart

DOI10.1016/j.cam.2019.07.005zbMath1427.60042arXiv1207.1256OpenAlexW1485017686WikidataQ127477832 ScholiaQ127477832MaRDI QIDQ2279883

Simona Toti, Filippo Palombi

Publication date: 16 December 2019

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1207.1256

zbMATH Keywords

perturbation theoryregularizationill-posed problemscovariance reconstruction

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Factorials, binomial coefficients, combinatorial functions (05A10)

Related Items (1)

Numerical reconstruction of the covariance matrix of a spherically truncated multinormal distribution

Cites Work

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• Some results on the multivariate truncated normal distribution
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• Some inequalities for the Chi square distribution function and the exponential functions
• Numerical reconstruction of the covariance matrix of a spherically truncated multinormal distribution
• Variance and covariance inequalities for truncated joint normal distribution via monotone likelihood ratio and log-concavity
• Probability Content of Regions Under Spherical Normal Distributions, I
• Elliptical and Radial Truncation in Normal Populations
• Probability Content of Regions Under Spherical Normal Distributions, IV: The Distribution of Homogeneous and Non-Homogeneous Quadratic Functions of Normal Variables

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