A geodesic Hamiltonian Monte Carlo sampler for Kronecker-structured separable covariance matrices, built on the affine-invariant metric and a regularized or orthogonalized pullback metric.
On-line Kronecker product structured covariance estimation with Riemannian geometry for t-distributed data
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Separable Geodesic Lagrangian Monte Carlo for Inference in 2-Way Covariance Models
A geodesic Hamiltonian Monte Carlo sampler for Kronecker-structured separable covariance matrices, built on the affine-invariant metric and a regularized or orthogonalized pullback metric.