ation-matrix-transform.section">section on correlation matrix transforms</a> for more information on the relation between canonical partial correlations and the Cholesky factors of correlation matrices.</p>
<p>Suppose <span class="math inline">\(y\)</span> is a vector of <span class="math inline">\(\binom{K}{2}\)</span> unconstrained values. Let
<span class="math inline">\(z\)</span> be a lower-triangular matrix with zero diagonal and below
diagonal entries filled by row. For example, in the <span class="ma