matrices-1" class="section level2">
<h2 number="10.12"><span class="header-section-number">10.12</span> Cholesky Factors of Correlation Matrices</h2>
<p>A <span class="math inline">\(K \times K\)</span> correlation matrix <span class="math inline">\(\Omega\)</span> is positive definite and
has a unit diagonal. Because it is positive definite, it can be
Cholesky factored to a <span class="math inline">\(K \times K\)</span> lower-triangular matrix <span class="math inline">\(L\)</span> with
positive diagonal 