Dear Ken,
I am afraid that LAPACK does not contain a routine to compute the
covariance matrix. You need to use LAPACK routines to put together a
routine yourself.
If, for example, you have used DGELS to solve the least squares problem
with one right hand side b and m >= n using the QR factorization, then
you need to compute C given by
C = sigma^2*(R^T R)^(1),
where sigma is the estimated variance of the residual vector and is
given by the sum of squares of elements (n+1) to m returned in B. Note
that you can use routine DPOTRI to compute (R^T R)^(1).
Good luck and best wishes,
Sven Hammarling.
