Hi,
the estimation of the variance matrix of multivariate distribution is the topic I am studying now. The WinBUGS code with the detailed explanation can be found in:
http://www.amazon.co.uk/Analysis-Regression-Multilevel-Hierarchical-Analytical/dp/052168689X/ref=sr_1_1?ie=UTF8&qid=1323776368&sr=8-1 - chapter 17
Kind Regards
Andrew
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