These files are Fortran and Julia implementations of a noise whitening procedure based on a particular form of covariance. The procedure consists of a Cholesky factorization of a covariance matrix and matrix-vector multiplication to a signal vector of the lower triangular factor or its inverse. The special form of the covariance enables these routines to take O(n) operations, rather than O(n^3) for the factorization and O(n^2) for the multiplications.
The aim is to compare Julia performance to Fortran performance for this simple code. The first Julia file covar1.jl contains a naive implementation, while the second covar2.jl makes most loops explicit (to improve performance).