Is your feature request related to a problem?
It is not really a problem, rather an enhancement.
Describe the feature you'd like
I think it would be nice to add an option to show the values of the covariance/correlation when plotting the matrix. I think it would be easier to read.
Additional context
I think I can help with that: we need only to modify the plot_covariance function, adding an additional option show_values (with default set to False) and adding something like:
if show_values:
n = matrix.shape[0]
for i in range(n):
for j in range(n):
text = ax.text(j, i, matrix[i, j], ha="center", va="center", color="w")
Something like this:
