c(X) \sim N(0,\Sigma),$$ where \(\Sigma\) is assumed to
    be Kronecker structured. That is, \(\Sigma\) is the Kronecker
    product of \(K\) covariance matrices, each of which has the
    interpretation of being the covariance of \(X\) along its
    \(k\)th mode, or dimension.</p>
<p>Pay particular attention to the zero mean assumption. That is,
  you need to de-mean your data prior to applying these
  functions. If you have more than one sample, \(X_i\) for \(i
  = 1,\ldots,n\), then you can concatenate 