Chunk #19 — 2 Model — 2.3 Marginal likelihood for γ — 2.3.2 Reducing the complexity from O(m3) to O(k3) — Option 2
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and Σγ=diag{σℓ}withσk+1=⋯=σm=0. This partitioning entails a block structure in the covariance matrix of N(zˆ|0,R+RΣγR)
and Σγ=diag{σℓ}withσk+1=⋯=σm=0. This partitioning entails a block structure in the covariance matrix of N(zˆ|0,R+RΣγR)