Create a collection of CrossCorrelationTables that are all derived from different diagonal matrices by the same transformation matrix.
All the CrossCorrelationTable matrices are generated as V′·Dk· V, where Dk is a diagonal matrix with entries randomly choosen from the [-1,1] interval. The matrix V is a "random" orthogonal matrix obtained from the singular value decomposition of a matrix M = U·D·V′, where the cells of the matrix M are random Gaussian numbers with mean 0 and standard deviation 1.
If the first matrix has to be positive definite, the numbers on the diagonal of D1 are randomly chosen from the [0.1,1] interval.
© djmw, February 12, 2011