George,

I think that it would work if the function subtracting the two arrays returned an array as well. I adapted your example function to perform this task and it seems to work for me.

Ben

Function AddMAtrix(rng As Range) As Variant

Dim i As Integer
Dim j As Integer
Dim colnum As Integer
Dim rownum As Integer
Dim AddMtrx() As Variant
Dim Aux1() As Variant
Dim Aux2() As Variant

Aux1 = CovarianceMatrix(rng)
Aux2 = AverageCovarianceMatrix(rng)

colnum = rng.Columns.Count
' covariance matrix
ReDim AddMtrx(colnum - 1, colnum - 1)

For i = 1 To colnum
For j = 1 To colnum
AddMtrx(i - 1, j - 1) = Aux1(i - 1, j - 1) - Aux2(i - 1, j - 1)
Next j
Next i

AddMAtrix = AddMtrx

End Function