&amp; \mbox{if } m &gt; n.
\end{array}
\right.
\]</span></p>
<p>The covariance matrix <span class="math inline">\(x\)</span> is recovered from its Cholesky factor <span class="math inline">\(z\)</span> by
taking</p>
<p><span class="math display">\[
x = z \, z^{\top}.
\]</span></p>
</div>
<div id="absolute-jacobian-determinant-of-the-covariance-matrix-inverse-transform" class="section level3 unnumbered">
<h3>Absolute Jacobian Determinant of the Covariance Matrix Inverse Transform</h3>
<p>The Jacobian is the 