{m,n} =
\left\{
\begin{array}{cl}
0 &amp; \mbox{if } m &lt; n,
\\
\log x_{m,m} &amp; \mbox{if } m = n, \mbox{ and}
\\
x_{m,n} &amp; \mbox{if } m &gt; n.
\end{array}
\right.
\]</span></p>
</div>
<div id="cholesky-factor-of-covariance-matrix-inverse-transform" class="section level3">
<h3 class="unnumbered" number="">Cholesky Factor of Covariance Matrix Inverse Transform</h3>
<p>The inverse transform need only invert the logarithm with an
exponentiation. If <span class="math inline">\(y\)</span> is the unconst