orrelation matrix <span class="math inline">\(x\)</span> must be is a symmetric, so that</p>
<p><span class="math display">\[
x_{k,k&#39;} = x_{k&#39;,k}
\]</span></p>
<p>for all <span class="math inline">\(k,k&#39; \in \{ 1, \ldots, K \}\)</span>, it must have a unit diagonal,
so that</p>
<p><span class="math display">\[
x_{k,k} = 1
\]</span></p>
<p>for all <span class="math inline">\(k \in \{ 1, \ldots, K \}\)</span>, and it must be positive
definite, so that for every non-zero <span class="math inline">\