vious section. A density function
<span class="math inline">\(p_X(x)\)</span> defined on <span class="math inline">\(M \times N\)</span> Cholesky factors of covariance
matrices is transformed to the density <span class="math inline">\(p_Y(y)\)</span> over <span class="math inline">\(N + \binom{N}{2} + (M - N)N\)</span> vectors <span class="math inline">\(y\)</span> by</p>
<p><span class="math display">\[
p_Y(y) = p_X(f^{-1}(y)) \prod_{N=1}^N x_{n,n}.
\]</span></p>
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            </section>

     