Consider a different covariance kernel of the form Cov(Xt, Xs) = exp{−α(t − s)2}, leading to the covariance matrix (B(n))ij = exp{−α((i −j )/n)2}. Analyze B(n) similarly and determine the value of the...

Consider a different covariance kernel of the form Cov(Xt, Xs) = exp{−α(t − s)2}, leading to the covariance matrix (B(n))ij = exp{−α((i −j )/n)2}. Analyze B(n) similarly and determine the value of the dimension n where Cholesky fails numerically.