ss="unnumbered" number="">Cholesky Factor of Correlation Matrix Transform</h3>
<p>Suppose <span class="math inline">\(x\)</span> is a <span class="math inline">\(K \times K\)</span> Cholesky factor for some correlation
matrix. The first step of the transform reconstructs the intermediate
values <span class="math inline">\(z\)</span> from <span class="math inline">\(x\)</span>,</p>
<p><span class="math display">\[
z_{i,j} = \frac{x_{i,j}}{\sqrt{1 - \sum_{j&#39; &lt; j}x_{i,j&#39;}^2}}.
\]</span></p>
<p>The m