cov does not preserve type

[Vilin97]

It can be important (e.g. with sparse matrices) to preserve the type of the covariance matrix. I have not tested other distributions but MvNormal does not preserve the type:

julia> typeof(I(2)) # sparse
Diagonal{Bool, Vector{Bool}}

julia> typeof(cov(MvNormal(I(2)))) # full        
Matrix{Bool} (alias for Array{Bool, 2})   

julia> sizeof(I(10^5)) # no memory used
8

julia> sizeof(cov(MvNormal(I(10^5)))) # lots of memory used     
10000000000

[devmotion]

I think this is a duplicate of #572 which is fixed by #1373.

[Vilin97]

It looks like that PR is abandoned though?