Added tests for GroupSparseCovariance(CV)

Corrected some bugs thanks to the tests.
Added a warning in group_sparse_covariance

A warning is issued when tolerance is not reached with the prescribed
number of iterations.
Tiny optimization: saved some memory allocation.
Fixed a spurious warning in a test
Reorganized code

Split group_sparse_covariance in two functions: one that takes signals
as input (for users) and one that takes empirical covariances (for
internal usage). This prepares for some more optimization of the
cross-validation function.