Covariate Assisted Principal Regression // Covariate Assisted Principal Regression (CAPR) for multiple covariance-matrix outcomes. The method identifies (principal) projection directions that maximize the log-likelihood of a log-linear regression model of the covariates. See Zhao et al. (2021), "Covariate Assisted Principal Regression for Covariance Matrix Outcomes" doi:10.1093/biostatistics/kxz057.