// Eigenvalues of the covariance matrix.
final double[] covMatEigenvalues = covMatDec.getRealEigenvalues();
for (int i = 0; i < covMatEigenvalues.length; i++) {
if (covMatEigenvalues[i] < 0) {
throw new NonPositiveDefiniteMatrixException(covMatEigenvalues[i], i, 0);
}
}
// Matrix where each column is an eigenvector of the covariance matrix.
final Array2DRowRealMatrix covMatEigenvectors = new Array2DRowRealMatrix(dim, dim);