A = [1, 0.3, 0.9; 0.3, 1, 0.6; 0.9, 0.6, 1] % denne så vidt lovlig

A =

    1.0000    0.3000    0.9000
    0.3000    1.0000    0.6000
    0.9000    0.6000    1.0000

A-transpose(A)

ans =

     0     0     0
     0     0     0
     0     0     0

det(A)

ans =

    0.0640

U = chol(A)

U =

    1.0000    0.3000    0.9000
         0    0.9539    0.3459
         0         0    0.2652

UT = transpose(U)

UT =

    1.0000         0         0
    0.3000    0.9539         0
    0.9000    0.3459    0.2652

z = randn(3,1e6);
eps = UT*z;
empiriskcov = cov(transpose(eps))

empiriskcov =

    0.9980    0.3009    0.8987
    0.3009    0.9981    0.5997
    0.8987    0.5997    0.9989

empiriskcov - A

ans =

   -0.0020    0.0009   -0.0013
    0.0009   -0.0019   -0.0003
   -0.0013   -0.0003   -0.0011

max(abs(empiriskcov - A))

ans =

    0.0020    0.0019    0.0013

eig(A)

ans =

    0.0394
    0.7266
    2.2339

A = [1, 0.3, 0.9; 0.3, 1, 0.7; 0.9, 0.7, 1] % denne er ikke "lovlig"

A =

    1.0000    0.3000    0.9000
    0.3000    1.0000    0.7000
    0.9000    0.7000    1.0000

% A-transpose(A)
det(A)

ans =

   -0.0120

eig(A) % en negativ egenverdi

ans =

   -0.0074
    0.7106
    2.2967

diary off