rm defined in the previous section.</p>
<p>Starting with a correlation matrix <span class="math inline">\(x\)</span>, the first step is to find the
unique upper triangular <span class="math inline">\(w\)</span> such that <span class="math inline">\(x = w w^{\top}\)</span>. Because <span class="math inline">\(x\)</span>
is positive definite, this can be done by applying the Cholesky
decomposition,</p>
<p><span class="math display">\[
w = \mbox{chol}(x).
\]</span></p>
<p>The next step from the Cholesky factor