Moritz Schauer

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I just ran into this, just affirming that there is still interest in this.

I just to point out the connections to the functions in a struct question in https://discourse.julialang.org/t/simple-rule-engine/59125/10 and https://discourse.julialang.org/t/event-handler/59937/5, which was workable for me (I wrote about my context here https://github.com/mschauer/ZigZagBoomerang.jl/wiki/Internals)

Would this also cover say diagonal approximations to the covariance?

I am not sure. I can see that a random matrix might have random size, but I would expect that a typical situation would sample the elements of the matrix...