Fig. 1.

The formation of $W=\mathit{Cov}(X)·(\mathit{Cov}(X,Y)\mathit{Cov}{(X,Y)}^T)$. The leftmost matrix is Cov(X), the middle matrix is $\mathit{Cov}(X,Y)\mathit{Cov}{(X,Y)}^T$ and the rightmost matrix is their element-wise product W