nag_correg_corrmat_shrinking (g02anc) Example Program Data
 5  3                                    :: n, k
  1.0000 -0.0991  0.5665 -0.5653 -0.3441
 -0.0991  1.0000 -0.4273  0.8474  0.4975
  0.5665 -0.4273  1.0000 -0.1837 -0.0585
 -0.5653  0.8474 -0.1837  1.0000 -0.2713
 -0.3441  0.4975 -0.0585 -0.2713  1.0000 :: End of g