Estimate Covariance Matrix of two vectors

cov(mat1, mat2) will give you the covariances in a p1 by p2 matrix, assuming
mat1 has p1 columns and mat2 has p2 columns.

HTH,
Andy

From: Claus Gwiggner

Hi,

I have m observations of a vector (p1,...,pp) of random variables and 
another m of a second vector (v1,...,vp) of same length.
How can I get an estimation of the covariance matrix for all pairs 
of variables (pi,vj) ?

Thanks.

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