Sigma;   // ... </code></pre>
<div id="probability-density-function-33" class="section level3">
<h3><span class="header-section-number">24.2.1</span> Probability Density Function</h3>
<p>For <span class="math inline">\(\eta &gt; 0\)</span>, if <span class="math inline">\(L\)</span> is a <span class="math inline">\(K \times K\)</span> lower-triangular Cholesky
factor of a symmetric positive-definite matrix with unit diagonal
(i.e., a correlation matrix), then <span class="math display">\[ \text{LkjCholesky}(