The routine PDA_COVMAT calculates the same statistics as G01DCF. To
use it requires that you also supply the variance of the largest
normal order statistic (see PDA_V11) and that you increase the space
required for the variance array. This is now a full array of values
rather than a packed array. The following code shows how to convert
this to the same form as output by the NAG routine:
K = 1
DO 3 J = 1, N
DO 4 L = 1, J
NAGVEC( K ) = V( L, J )
K = K + 1
4 CONTINUE
3 CONTINUE
