Function Svdvar

Part of:

package cl-mathstats
( svdvar < v > < w > &optional < cvm > )
Given `v' and `w' as computed by singular value decomposition, computes the covariance matrix among the predictors. Based on Numerical Recipes in C, section 15.4, algorithm `svdvar.' The covariance matrix is returned. It can be supplied as the third argument.