This isn't an elegant solution or anything, but I think it can work...
Why don't you create a covariance matrix by filling in the values, and then call ColumnCovariance() and RowCovariance() on it? I've never written C#, so I don't know the syntax but this should give you a general idea:
Matrix covariance = new Matrix( [some numbers]) // basically just copy the covariance values
Matrix rowCov = covariance.getRowCovariance()
Matrix colCov = covariance.getColumnCovariance()