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

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

Partial correlations or covariances are computed by PARTIAL_COV.

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