Here, Sig[j,k] = 0 if |j-k|>K
and Sig[j,k] = 1 - |j-k| / K otherwise.
Sig[j,k] = 0
Sig[j,k] = 1 - |j-k| / K
dimension of covariance matrix
Returns the covariance matrix, Sig, and the symmetric
square root, A, of this matrix.
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