Represents covariance matrices as 3-d ellipsoids using the rgl package.
Covariance matrices of dimension greater than 3 are plotted on the subspace
defined by the first three eigenvectors.
The matrix CA is always red, and the matrix CB if given is always blue. The
subspace is defined by the first three eigenvectors of CA, and the percentage of
variance for each matrix along these three dimensions is given in the plot
title.