$</span><span class="va">Bhat</span>, <span class="va">simdata</span><span class="op">$</span><span class="va">Shat</span><span class="op">)</span></code></pre></div>
</div>
<div class="section level2">
<h2 id="step-2-set-up-the-covariance-matrices">Step 2: Set up the covariance matrices<a class="anchor" aria-label="anchor" href="#step-2-set-up-the-covariance-matrices"></a>
</h2>
<p>There are two types of covariance matrix you can use in
<code>mash</code>: “canonical” and “data-driven”. The canonica