The DO Loop

Statistical programming in SAS with an emphasis on SAS/IML programs
Advanced Analytics
Rick Wicklin 44
Use the Cholesky transformation to correlate and uncorrelate variables

A variance-covariance matrix expresses linear relationships between variables. Given the covariances between variables, did you know that you can write down an invertible linear transformation that "uncorrelates" the variables? Conversely, you can transform a set of uncorrelated variables into variables with given covariances. The transformation that works this magic is

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