covariance-estimation topic

Machine learning for multivariate data through the Riemannian geometry of positive definite matrices in Python

pyRiemann

Python library for analysis of time series data including dimensionality reduction, clustering, and Markov model estimation

deeptime-ml

World beating online covariance and portfolio construction.

microprediction

Implementation of linear CorEx and temporal CorEx.

hrayrhar

Lightweight robust covariance estimation in Julia

mateuszbaran

R Package: Regularized Principal Component Analysis for Spatial Data

egpivo

Mean and Covariance Matrix Estimation under Heavy Tails

convexfi