CRand:
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Given a covariance matrix, c, finds a transformation matrix
that transforms a vector of normal random numbers each
with a standard deviation of 1 into a vector modeled by the
covariance matrix. If x is the vector of normal random numbers
y = ax
such that
E(xx') = I
then y is a vector of random numbers such that
E(yy') = c
Uses the Cholesky decomposition of c. c must be positive
definite.
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Form:
a = CRand( c )
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Inputs
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c Covariance matrix
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Outputs
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a Transformation matrix
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Children: