*This example is courtesy of James Theiler of Los Alamos National Laboratory*
* 2010-03-22 *
This is a movie of a 224x224 covariance matrix corresponding
to the AVIRIS data, as estimated by SMT with K rotations,
with K ranging from 1 to 389. That corresponds to r = (389/224) = 1.74 rotations per coordinate.
The first frame is that actual sample covariance matrix,
and the following frames show how the matrix goes from diagonal to blockdiagonal, to a dense matrix.
One iteresting aspect is how the a single rotation can suddenly "populate" a large chunk of the
covariance matrix as (seemingly) two blocks are merged into a larger block.