eader-section-number">10.11</span> Cholesky factors of covariance matrices</h2>
<p>An <span class="math inline">\(M \times M\)</span> covariance matrix <span class="math inline">\(\Sigma\)</span> can be Cholesky factored to
a lower triangular matrix <span class="math inline">\(L\)</span> such that <span class="math inline">\(L\,L^{\top} = \Sigma\)</span>. If
<span class="math inline">\(\Sigma\)</span> is positive definite, then <span class="math inline">\(L\)</span> will be <span class="math inline">\(M \ti