Bayesian analysis of covariance matrices and dynamic models for longitudinal data

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Simultaneous modelling of the Cholesky decomposition of several covariance matrices (2007, methodology): “As an alternative computational approach to obtain the MLE of the parameters in (19), one could use the iteratively reweighted least squares (IRLS) algorithm in Daniels and Pourahmadi (2002).”
Nonparametric estimation of large covariance matrices of longitudinal data (2003, methodology): “In this follow-up paper to Pourahmadi (1999, 2000) and Daniels & Pourahmadi (2002), we provide nonparametric, positive-definite estimators of covariance matrices without assuming stationarity.”