In the numerical illustration, I'm not quite able to understand how the 3*3 matrix was arrived at. The text says, "The coefficients in this matrix have been determined so as to ensure that the calculated values of x1, x2 and x3 each have a variance of 1, and that the correlations corr(xi , x j ) are equal to rij". How was this done? Thanks!
Have a look at Q&A Bank Question 6.15. This is designed to help you understand where the correlation matrix comes from.
