*2.1. Notation*

We represent matrices with cursive capital letters, vectors with bold lowercase letters, and scalars with cursive lowercase letters. The epoched EEG data with *n* epochs, *c* channels, and *<sup>s</sup>* samples are represented in epoch format as {*Xi* <sup>∈</sup> <sup>R</sup>*c*×*s*}*<sup>n</sup> <sup>i</sup>*=<sup>1</sup> or in flattened vector format by concatenating all channels for each epoch. Flattening results in {**x***<sup>i</sup>* <sup>∈</sup> <sup>R</sup>*cs*}*<sup>n</sup> i*=1 such that **x***<sup>i</sup>* = vec(*Xi*). The real covariance matrix of the epochs in vector format is denoted by *C*, and estimators thereof as *C*ˆ.
