/// <summary>
/// Update the covariance.
/// </summary>
/// <param name="covariance">The new covariance.</param>
public void Update(double[][] covariance)
{
_cd = new CholeskyDecomposition(new Matrix(covariance));
_covarianceL = _cd.L;
_covarianceInv = _cd.InverseCholesky();
_covarianceDet = _cd.GetDeterminant();
}