CovarianceEstimation.jl

Lightweight robust covariance estimation in Julia.

A package for estimating covariance matrices.

Package Features

• Standard corrected and uncorrected covariance estimators,
• Linear and Nonlinear shrinkage estimators
• Focus on speed and lightweight dependencies

Manual outline

• Methods
• Notations
• Simple estimator
• Linear shrinkage estimators
• Nonlinear shrinkage estimators
• Comparing estimators
• Linear shrinkage estimators
• Targets and intensities
• Nonlinear shrinkage estimators
• MSE Comparison
• Fat matrices
• Tall matrices

Library Outline

• Public Documentation
• Contents
• Index
• Public Interface
• Internal Documentation
• Contents
• Index
• Internals

Index

• CovarianceEstimation.AnalyticalNonlinearShrinkage
• CovarianceEstimation.CommonCovariance
• CovarianceEstimation.ConstantCorrelation
• CovarianceEstimation.DiagonalCommonVariance
• CovarianceEstimation.DiagonalUnequalVariance
• CovarianceEstimation.DiagonalUnitVariance
• CovarianceEstimation.LinearShrinkage
• CovarianceEstimation.PerfectPositiveCorrelation
• Statistics.cov