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\[ \mb{V}_ t = \left\{ \begin{array}{lcl} \mb{S}_ p & & \mbox{the pooled covariance matrix} \\ \mbox{diag}(\mb{S}_ p) & & \mbox{the diagonal matrix of the pooled covariance matrix} \\ \mb{S}_ t & & \mbox{the covariance matrix within group } t \\ \mbox{diag}(\mb{S}_ t) & & \mbox{the diagonal matrix of the covariance matrix within group } t \\ \mb{I} & & \mbox{the identity matrix} \\ \end{array} \right. \]
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