Factor of Covariance Matrix Transform</h3>
<p>Stan’s Cholesky factor transform only requires the first step of the
covariance matrix transform, namely log transforming the positive
diagonal elements. Suppose <span class="math inline">\(x\)</span> is an <span class="math inline">\(M \times N\)</span> Cholesky factor.
The above-diagonal entries are zero, the diagonal entries are
positive, and the below-diagonal entries are unconstrained. The
transform required is thus</p>
<p><span class="math display">\[
y_