https://arxiv.org/abs/1707.06529
[1707.06529] Massive data compression for parameter-dependent covariance matrices
Abstract page for arXiv paper 1707.06529: Massive data compression for parameter-dependent covariance matrices
data compressioncovariance matricesmassiveparameterdependent
https://jp.mathworks.com/help/ident/ref/idmodel.getcov.html
getcov - Parameter covariance of identified model - MATLAB
This MATLAB function returns the raw covariance of the parameters of an identified model.
parameter covarianceidentifiedmodelmatlab