Software for maximum likelihood estimation of covariance matrices with separable correlation. The considered structure of the covariance matrix, Sigma, is: Sigma = W k(U, V) W, where W is a diagonal matrix with positive entries and k(U, V) means the Kronecker product of U and V.
Karl Oskar Ekvall (k.o.ekvall at gmail dot com)
This project is licensed under the MIT License.