public CorrelatedRandomVectorGenerator(double[] mean,
RealMatrix covariance, double small,
NormalizedRandomGenerator generator) {
int order = covariance.getRowDimension();
if (mean.length != order) {
throw new DimensionMismatchException(mean.length, order);
}
this.mean = mean.clone();
final RectangularCholeskyDecomposition decomposition =
new RectangularCholeskyDecomposition(covariance, small);