 class="math inline">\(K \times K\)</span> correlation matrix requires only
<span class="math inline">\(\binom{K}{2}\)</span> unconstrained parameters.</p>
<div id="cholesky-factor-of-correlation-matrix-inverse-transform" class="section level3">
<h3 class="unnumbered" number="">Cholesky Factor of Correlation Matrix Inverse Transform</h3>
<p>It is easiest to start with the inverse transform from the <span class="math inline">\(\binom{K}{2}\)</span> unconstrained parameters <span class="math inline">\(y\)</sp