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Martin Lysy, Bryan Yates

Efficient Frequentist profiling and Bayesian marginalization of parameters for which the conditional likelihood is that of a multivariate linear regression model. Arbitrary inter-observation error correlations are supported, with optimized calculations provided for independent-heteroskedastic and stationary dependence structures.

Install the R packagedevtools and run

devtools::install_github("mlysy/LMN")

Please see package vignette:vignette("LMN").