Exercise Solution 5.7

We construct an N₃(0,I) pseudorandom vector x from the U₃((0,1)³) pseudorandom vector [5.47]:

[s1]

We calculate the Cholesky matrix k for Σ, as described in Section 2.7. We obtain:

[s2]

Applying [5.46] to [s1], we obtain the desired pseudorandom vector:

[s3]

See spreadsheet for the actual computations.