The committed files are a fully functioning implementation of the
Karhunen–Loève transform (KLT) as defined on Wikipedia, and verified
using multiple languages - Python, R and MATLAB. Note. It may be common
for libraries to call this algorithm 'covariance', 'eig' or similar to
distiguish from the SVD alogrithm or otherwise.
The source code is built entirely on the GNU GSL (2.7) library, to
utilise BLAS optimised functionality.
