code: def eig_corr(C0, Ct, epsilon=1e-10, method='QR', sign_maxelement=False):
      r
      L = spd_inv_split(C0, epsilon=epsilon, method=method, canonical_signs=True)
      Ct_trans = _np.dot(_np.dot(L.T, Ct), L)
      if _np.allclose(Ct.T, Ct):
          from scipy.linalg import eigh
          l, R_trans = eigh(Ct_trans)
      else:
          from scipy.linalg import eig
          l, R_trans = eig(Ct_trans)
      l, R_trans = sort_by_norm(l, R_trans)
      R = _np.dot(L, R_trans)
      if sign_maxelement:
          for j in range(R.shape[1]):
              imax = _np.argmax(_np.abs(R[:, j]))
              R[:, j] *= _np.sign(R[imax, j])
      return l, R