covariance-estimation

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

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

Online Covariance and Correlation Estimation

Production multi-asset portfolio construction and rolling backtesting in Python

Lightweight robust covariance estimation in Julia

Implementation of linear CorEx and temporal CorEx.

Sparse multi-output factor-model estimation with sign constraints, prior-centered shrinkage, data-driven grouped penalties, and consistent factor covariance assembly

Portfolio optimisation library for Julia. Over 50 risk measures (CVaR, EVaR, RLVaR, drawdown, OWA), hierarchical risk parity, HERC, nested clustered optimisation, risk budgeting, near-optimal centering, four Black-Litterman variants, entropy pooling, factor and high-order priors, denoising, and JuMP-backed convex and non-convex optimization.

Mean and Covariance Matrix Estimation under Heavy Tails

R Package: Regularized Principal Component Analysis for Spatial Data

Implementation of the Paper "Channel Estimation for Quantized Systems based on Conditionally Gaussian Latent Models".

Statistical Tools for Covariance Analysis

gips - Gaussian model Invariant by Permutation Symmetry

PCA, Factor Analysis, CCA, Sparse Covariance Matrix Estimation, Imputation, Multiple Hypothesis Testing

Framework for estimating parameters and the empirical sandwich covariance matrix from a set of unbiased estimating equations (i.e. M-estimation) in R.

Code for NeurIPS 2025 paper - Covariances for Free: Exploiting Mean Distributions for Training-free Federated Learning

Chronos-2 是一个用于时间序列预测的基础模型，基于 Chronos 和 Chronos-Bolt 构建。它提供了显著的能力改进，可以处理早期模型不支持的多种预测场景。支持的场景包括（1）单变量时间序列预测：经典的时间序列预测任务；（2）跨项目学习：利用多个相关时间序列的信息进行预；（3）多变量预测：同时预测多个相关目标变量（3）带协变量的预测：仅过去协变量：在预测时已知的历史协变量（如过去的天气数据） + 已知未来协变量：预测期间已知的协变量（如节假日、计划事件）

R code and dataset for the paper on spatially functional data

General purpose correlation and covariance estimation

Unidimensional trivial Kalman filter (header only, Arduino compatible) library