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    • Lorenzo Moneta's avatar
      From Manuel Schiller: · 356c483c
      Lorenzo Moneta authored
      in CholeskyDecomp (SMatrix package), give access to the Cholesky
      	decomposition itself, i.e. the matrix L from M = L L^T; this is
      	useful if one needs to decorrelate a number of random variables
      	for which the covariance matrix is known (decompose covariance
      	M, apply L to the vector of random variables to obtain a new
      	vector or uncorrelated random variables with unit variance)
      356c483c
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