Example. One-vertex marginals with many extensions [fdip-006A]

Compatibility of local Gaussian data alone does not imply uniqueness. On the cover \(\{0\},\{1\}\) of two vertices, prescribe a standard normal law at each vertex. Every covariance \[G_\rho =\begin {pmatrix}1&\rho \\\rho &1\end {pmatrix}, \qquad -1<\rho <1,\] is a positive-definite global extension. The product law is the member \(\rho =0\). Uniqueness will require an additional conditional-independence condition.