This is for a project which I've been trying to find some information for Covariance matrix and correlation matrix.
I understand that for a $n \times n$ matrix $A, AA^T$ will give me the covariance matrix.
Is there any relationship between the covariance and correlation matrix?
Sorry maybe I wasn't clear.
I wanted to use Cholesky decomposition to generate correlated variables from random variables. I do know how to do it using matlab. And I understand how it works for 2 variables. But when I scale up the matrix to $n \times n$ instead of $2 \times 2$, I am not sure how it will work out.
would appreciate if someone could provide more hint on the mathematics.