(n \in 1{:}N\)</span>), and <span class="math inline">\(w \in \mathbb{R}^{K}\)</span> is a vector of positive inverse scales, then for <span class="math inline">\(y \in \mathbb{R}^{K \times N}\)</span>, <span class="math display">\[ \text{MultiGPCholesky}(y \, | \ L,w)
= \prod_{i=1}^{K} \text{MultiNormal}(y_i|0,w_i^{-1} LL^{\top}), \]</span>
where <span class="math inline">\(y_i\)</span> is the <span class="math inline">\(i\)</span>th row of <span class="math inline">\(y\)</span>. This is used to efficientl