CorrelatedRandomVectorGenerator implements RandomVectorGenerator { public RealMatrix getRootMatrix() { return root; } CorrelatedRandomVectorGenerator(double[] mean,
                                           RealMatrix covariance, double small,
                                           NormalizedRandomGenerator generator);  CorrelatedRandomVectorGenerator(RealMatrix covariance, double small,
                                           NormalizedRandomGenerator generator); NormalizedRandomGenerator getGenerator(); int getRank(); RealMatrix getRootMatrix(); double[] nextVector();  }
@Test public void testRootMatrix() { RealMatrix b = generator.getRootMatrix(); RealMatrix bbt = b.multiply(b.transpose()); for (int i = 0; i < covariance.getRowDimension(); ++i) { for (int j = 0; j < covariance.getColumnDimension(); ++j) { Assert.assertEquals(covariance.getEntry(i, j), bbt.getEntry(i, j), 1.0e-12); } } }