uilds a correlated random vector generator from its mean
 vector and covariance matrix.</div>
<dl><dt><span class="strong">Parameters:</span></dt><dd><code>mean</code> - Expected mean values for all components.</dd><dd><code>covariance</code> - Covariance matrix.</dd><dd><code>small</code> - Diagonal elements threshold under which  column are
 considered to be dependent on previous ones and are discarded</dd><dd><code>generator</code> - underlying generator for uncorrelated normalized
 components.</dd>
<dt>