</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><span class="strong">Throws:</span></dt>
<dd><code><a href="../../../../../org/apache/commons/math3/linear/NonPositiveDefiniteMatrixException.html" title="class in org.apache.commons.math3.linear">NonPositiveDefiniteMatrixException</a></code> - if the covariance