1) Input the system data of the studied system and generate
random samples.
2) Compute covariance matrix CP of the nodes having
correlation coefficient among them, and to find their
eigenvalues i
λand eigenvectors i ϕ (i=1,2,……,N). Then
use orthogonal transformation of covariance matrix CP to
obtain a matrix [ ]T
N P p p * p *
2
*
1
* = , ,