Let's look into 'Cholesky Decomposition' (CD) a bit. In order to generate correlated random variables, CD is used to obtain a corelation matrix (C): LL'=C, where L is the lower triangular matrik...

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Extracted text: Let's look into 'Cholesky Decomposition' (CD) a bit. In order to generate correlated random variables, CD is used to obtain a corelation matrix (C): LL'=C, where L is the lower triangular matrik obtained from CD. Then I can generate twO correlated random variables: LX = Y, where X- where X are uncorrelated variables and Y are correlated variables we need. If we want two correlated drawn values from Y, what is L? 1 1 OC. 1-0