A joint covariance construction for Gaussian priors preserves given marginals, permits arbitrary cross-correlations via contractions, and supports inference on the correlation structure itself.
Joint inversion approaches for geophysical electromagnetic and elastic full-waveform data.Inverse Problems, 28(5):055016
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Beyond Independence: on Jointly Normal Priors in Bayesian Inversion
A joint covariance construction for Gaussian priors preserves given marginals, permits arbitrary cross-correlations via contractions, and supports inference on the correlation structure itself.