[…] In the comments to one of my previous articles, a SAS programmer asked whether it is possible to generate MVN data even if the covariance matrix is so large that it cannot be factored by the ROOT function. For example, suppose you want to generate d=20,000 MVN variables. A d x d covariance matrix of that size requires 3 GB of RAM, and on some operating system you cannot form the Cholesky root of a matrix that large. However, I have developed an algorithm that enables you to deal with the covariance matrix (Σ) as a block matrix. …