The usual multivariate measures of correlation and covariance for continuous random variables are produced by function imsls_f_covariances.

For data grouped by some auxiliary variable, function imsls_f_pooled_covariances can be used to compute the pooled covariance matrix along with the means for each group.

Partial correlations or covariances are computed by imsls_f_partial_covariances.

Function imsls_f_robust_covariances computes robust M-estimates of the mean and covariance matrix from a matrix of observations.