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Nov 2, 2018 at 14:26 vote accept Alan
Nov 2, 2018 at 13:38 comment added Alan Hmm, so it is. My PSD matrix generator was biased towards diagonally dominant matrices, so I never caught this. I guess for $\Sigma$ close enough to identity this will work 'cos it works for identity. I'm not immediately sure how to fix this.
Nov 2, 2018 at 12:39 history answered Suvrit CC BY-SA 4.0