The present invention provides an apparatus and method for generating a covariance matrix. According to one aspect of the invention, an apparatus is provided which generally includes a memory, a circular buffer, a multiply-accumulator, and an arithmetic logic unit. The memory contains an array of values representative of a plurality of samples, and the circular buffer is configured to provide a predetermined number of memory locations. A method for generating the covariance matrix is further provided which uses the architecture listed above to efficiently generate a covariance matrix based on the values in the memory. In one aspect of the invention, the method provides that the memory, the circular buffer, the multiply-accumulator, and the arithmetic logic unit, all operate in parallel to fully exploit the resources provided by the architecture.