CovarianceEstimation.jl
Lightweight robust covariance estimation in Julia.
A package for robustly estimating covariance matrices of real-valued data.
Package Features
- Standard corrected and uncorrected covariance estimators,
- Linear and Nonlinear shrinkage estimators, including estimators for covariance matrices too large to store in dense form
- Focus on speed and lightweight dependencies
Manual outline
Library Outline
Index
CovarianceEstimation.AnalyticalNonlinearShrinkageCovarianceEstimation.BiweightMidcovarianceCovarianceEstimation.CommonCovarianceCovarianceEstimation.ConstantCorrelationCovarianceEstimation.DiagonalCommonVarianceCovarianceEstimation.DiagonalUnequalVarianceCovarianceEstimation.DiagonalUnitVarianceCovarianceEstimation.LinearShrinkageCovarianceEstimation.NormLossCovCovarianceEstimation.PerfectPositiveCorrelationCovarianceEstimation.StatLossCovCovarianceEstimation.WoodburyEstimatorStatistics.cov