The covariance matrix 
in (2.63) is a positive
definite and symmetric matrix which can decomposed into:
where 
is a lower triangular matrix:
A random vector 
with a multinormal jpdf
can be generated from:
where 
is a normal vector of independent zero mean and one standard
deviation normal deviates, and 
is the vector of means.
The decomposition can be performed using the so-called square root
method [88] which is based on a set of recursive formulae for
the computation of the elements of :
