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

DOI10.1016/J.CAM.2019.07.005MaRDI QIDQ2279883zbMATH OpenOpenAlexWikidataFDO

Authors Filippo Palombi, Simona Toti

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

regularizationperturbation theoryill-posed problemscovariance reconstruction

Mathematics Subject Classification ID

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

Abstract: 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 information amounts to the covariance matrix of a spherically truncated counterpart of the same distribution. We expand the relevant equations up to the fourth perturbative order and discuss the analytic properties of the first few perturbative terms. We finally compare the proposed approach with an exact iterative algorithm (presented in Palombi et al. (2017)) in the hypothesis that the spherically truncated covariance matrix is estimated from samples of various sizes.

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Cited in

(2)

• A note on the variance of the square components of a normal multivariate within a Euclidean ball
• Numerical reconstruction of the covariance matrix of a spherically truncated multinormal distribution

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