Matteo Fasiolo

Scalable Fitting Methods for Multivariate Gaussian Additive Models with Covariate-dependent Covariance Matrices

We propose efficient computational methods to fit multivariate Gaussian additive models, where the mean vector and the covariance matrix are allowed to vary with covariates, in an empirical Bayes framework. To guarantee the positive-definiteness of the covariance matrix, we model...