Relation with CovarianceMatrices.jl

[tlienart]

As discussed on Slack it would be nice to also consider CovarianceMatrices.jl and see whether we try to

• merge what we can here with the argument that the API may be simpler and more general
• have the two stand independently but then clarify in respective readme what the goal of each package is?

@mateuszbaran @gragusa

[mateuszbaran]

I think these two packages have somewhat different goals. First of all, I would like to keep CovarianceEstimation.jl with few dependencies. Some parts of CovarianceMatrices.jl could likely be moved here but we should make CovarianceEstimation.jl more mature first.