I am working on an EKF and have a question regarding coordinate frame conversion for covariance matrices. Let's say I get some measurement $(x, y, z, roll, pitch, yaw)$ with corresponding 6x6 covariance matrix $C$. This measurement and $C$ are given in some coordinate frame $G\_1$. I need to transform the measurement to another coordinate frame, $G\_2$. Transforming the measurement itself is trivial, but I would also need to transform its covariance, correct? The translation between $G\_1$ and $G\_2$ should be irrelevant, but I would still need to rotate it. If I am correct, how would I do this? For the covariances between $x$, $y$, and $z$, my first thought was to simply apply a 3D rotation matrix, but that only works for a 3x3 submatrix within the full 6x6 covariance matrix. Do I need to apply the same rotation to all four blocks?