'Save covariance matrix in a FIF file.
Parameters
fname : str
Output filename.'

def save(self, fname):

    check_fname(fname, 'covariance', ('-cov.fif', '-cov.fif.gz'))
    fid = start_file(fname)
    try:
        _write_cov(fid, self)
    except Exception:
        fid.close()
        os.remove(fname)
        raise
    end_file(fid)
