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Let $A$ and $B$ be two $n \times n$ real matrices. (In my application, $A$ and $B$ are $6\times 6$ traceless singular real matrices) I am interested in finding the smallest $T$ such that the integral $...

Let $ f(L) $ be a scalar function of the lower triangular Cholesky decomposition of the covariance matrix $ \Sigma $ such as $ \Sigma = LL' $. Let's assume that we know the first and second derivative ...