This should be a well known methodology by now, but it seems to not be.
In statistical work, one frequently sees the expression ![](https://s0.wp.com/latex.php?latex
<p>The covariance is key, as it allows us to compute a <a href="http://en.wikipedia.org/wiki/Cholesky_decomposition">Cholesky decomposition</a> of <img src=)
![](https://s0.wp.com/latex.php?latex
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