kvalue=zeros(size(data,1),size(data,1),size(data,2));
The above line is just initializing an array of zeros that has dimensions MxMxN where M is the number of rows in data and N is the number of columns.
So that,
data = randn(8,4);
kvalue=zeros(size(data,1),size(data,1),size(data,2));
kvalue is a matrix of zeros that is 8x8x4. The matrix of zeros is then filled with values in the following for loop.
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