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The screenshot below from the paper "Short-Term Variations and Long-Term Dynamics in Commodity Prices" by Schwartz and Smith (2000) shows the formula for the covariance matrix $V_n$ based on an initial matrix of brownian motion variances and correlation.

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How is the computation of the $V_n$ supposed to be implemented? What would be the steps in its computation?

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    $\begingroup$ What have you tried so far? Including your work (attempt) would be helpful. $\endgroup$
    – amdopt
    Aug 8 at 20:37

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