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
- Focus on speed and lightweight dependencies
Manual outline
- Methods
- Notations
- Simple estimator
- Linear shrinkage estimators
- Nonlinear shrinkage estimators
- Biweight midcovariance
- Comparing estimators
- Linear shrinkage estimators
- Nonlinear shrinkage estimators
- MSE Comparison