gonum/stat — pull request #19 by jonlawlor (2014-11-15 06:18:08+00:00)
Title: CovarianceMatrix function

As discussed previously in #15, this implements a two-pass covariance calculation for mat64.Matrix. I'm wondering if we should require BLAS to calculate covariance or if I should write an implementation with and without it. Also, with better knowledge of the mat64 package I believe some of the memory allocations can be eliminated.

Currently a WIP, this pull request isn't anywhere near ready for merge. Also, the .travis.yml file will have to be updated to get the BLAS dependency. PTAL @kortschak, @btracey, I could use your advice.