Does anyone recognize what algorithm this is? I'm not entirely clear what multiplying a vector by the covariance matrix actually does, let alone why you would want to do it 6 times


the modeling book that was so useful for the least squares code is of no use to me here, it doesnt mention covariance at all

I wonder how far I can get just answering questions with random textbooks I somehow ended up with. I found a mention of covariance matrices in a statistics book that was also on my shelf

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