Covariance matrix from the asymptotic distribution derived in Gossmann et. al. (2018)
1 | get_Omega(u0, S_X1, S_Y1, S_Y1X1)
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Get the covariance matrix defined in Theorem 1 of Gossmann et. al. (2018) "FDR-Corrected Sparse Canonical Correlation Analysis with Applications to Imaging Genomics" (https://arxiv.org/pdf/1705.04312).
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