You will have to compose Jacobians.

```
KeplerianOrbit kep = ...;
RealMatrix covarianceKep = ...;
// convert to Cartesian covariance
double[][] jk = new double[6][6];
kep.getJacobianWrtParameters(PositionAngle.MEAN, jk);
RealMatrix dCdK = MatrixUtils.createRealMatrix(jk);
RealMatrix covarianceCart = dCdK.multiply(covarianceKep).multiplyTransposed(dCdK);
// convert to Equinoctial covariance
double[][] je = new double[6][6];
EquinoctialOrbit equ = (EquinoctialOrbit) OrbitType.EQUINOCTIAL.convertType(kep);
equ.getJacobianWrtCartesian(PositionAngle.MEAN, je);
RealMatrix dEdC = MatrixUtils.createRealMatrix(je);
RealMatrix covarianceEqu = dEdC.multiply(covarianceCart).multiplyTransposed(dEdC);
```

Beware that when converting the covariances, the left hand side multiplication calls the `multiply`

method whereas the right hand side multiplication calls the `multiplyTransposed`

method (this avoids creating the intermediate transposed matrix).

Beware also I wrote this skeleton code quickly, you should double check to ensure the transforms are in the correct direction.