CovarianceEstimation.jl
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Relation with CovarianceMatrices.jl
As discussed on Slack it would be nice to also consider CovarianceMatrices.jl and see whether we try to
- merge what we can here with the argument that the API may be simpler and more general
- have the two stand independently but then clarify in respective readme what the goal of each package is?
@mateuszbaran @gragusa
I think these two packages have somewhat different goals. First of all, I would like to keep CovarianceEstimation.jl with few dependencies. Some parts of CovarianceMatrices.jl could likely be moved here but we should make CovarianceEstimation.jl more mature first.