Gene set analysis (GSA) methods test the association of sets of genes with a phenotype in gene expression microarray studies. Many GSA methods have been proposed, especially methods for use with a binary phenotype. Equally, if not more importantly however, is the ability to test the enrichment of a gene signature or pathway against the continuous phenotypes which are routinely and commonly observed in, for example, clinicopathological measurements. It is not always easy or meaningful to dichotomize continuous phenotypes into two classes, and attempting to do this may lead to the inaccurate classification of samples, which would affect the downstream enrichment analysis. In the present study, we have build on recent efforts to incorporate correlation structure within gene sets and pathways into the GSA test statistic. To address the issue of continuous phenotypes directly without the need for artificial discrete classification and thus increase the power of the test while ensuring computational efficiency and rigor, new GSA methods that can incorporate a covariance matrix estimator for a continuous phenotype may present an effective approach.