Cambodia has asked the United States government for help in recovering a thousand-year-old statue of a mythic warrior that sits in limbo at Sotheby’s in New York and that some experts believe was looted amid the convulsions of the Vietnam War and the killing fields of the Khmer Rouge.

The statue, a sandstone masterwork with a catalog estimate of $2 million to $3 million, was pulled from auction at the last minute last March after the Cambodian government complained it had been “illegally removed” from the country.

The Department of Homeland Security has opened an investigation, but Cambodian officials say they have held off asking for the piece to be seized while they negotiate with Sotheby’s for a private purchase. The auction house says that the seller is a “noble European lady” who acquired it in 1975. Although it was severed from its feet and pedestal, which were left behind at a remote Cambodian archaeological site, Sotheby’s says there is no proof that it was taken illegally....