l ones are
very easy to set up and so we use those here for illustration. However,
in applications you will likely also want to use data-driven matrices,
and this is an important feature of <code>mash</code>. See <a href="intro_mash_dd.html">the data-driven vignette</a> for more details
on how to do this.</p>
<p>The function to set up canonical covariance matries is
<code>cov_canonical</code>. The following sets up canonical covariances
in <code>U.c</code> (we used <code>.c</code> to indicate canonical),
wh