produces an extended Covariance matrix,
[ECM] = nan_ecovm(X); [ECM] = nan_ecovm(X,Y); [ECM,NN] = nan_ecovm(...);
ECM= [1 X]'*[1 X]; // l is a matching column of 1's ECM is additive, i.e. it can be applied to subsequent blocks and summed up afterwards
For [ECM] = nan_ecovm(X,Y);
ECM= [1 X]'*[1 Y]; // l is a matching column of 1's
if [ECM_1,NN1] = nan_ecovm(s_1);
and [ECM_n,NN2] = nan_ecovm(s_n);
with [ECM,NN] = nan_ecovm([s_1+...+s_n]);
then ECM_1 + ... + ECM_n == ECM
and NN1 + ... + NNn == NN