th inline">\(3 \times 3\)</span>
case,</p>
<p><span class="math display">\[
z =
\left[
\begin{array}{ccc}
0 &amp; 0 &amp; 0
\\
\tanh y_1 &amp; 0 &amp; 0
\\
\tanh y_2 &amp; \tanh y_3 &amp; 0
\end{array}
\right]
\]</span></p>
<p>The matrix <span class="math inline">\(z\)</span>, with entries in the range <span class="math inline">\((-1, 1)\)</span>, is then
transformed to the Cholesky factor <span class="math inline">\(x\)</span>, by taking<a href="#fn17" class="footnote-ref" id="fnref17"><sup>17</sup></a></p