Recovering a Gaussian distribution from its minimum

preprint2016arXivOpen access

Abstract

Let X=(X1,X2,X3)X=(X_1,X_2, X_3) be a Gaussian random vector such that X∼N(0,Σ)X\sim \mathcal{N} (0,Σ). We consider the problem of determining the matrix ΣΣ, up to permutation, based on the knowledge of the distribution of Xmin:=min⁡(X1,X2,X3)X_{\mathrm{min}}:=\min(X_1, X_2, X_3). Particularly, we establish a connection between this identification problem and a geometric identification problem in the context of the theory of the circular radon transform.

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