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

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

World beating online covariance and portfolio construction.

Implementation of linear CorEx and temporal CorEx.

Lightweight robust covariance estimation in Julia

Mean and Covariance Matrix Estimation under Heavy Tails

Statistical Tools for Covariance Analysis

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

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

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

A Python front-end for the large-scale graphical LASSO optimizer BigQUIC (written in R).

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

gips - Gaussian model Invariant by Permutation Symmetry

General purpose correlation and covariance estimation

R Package: Regularized Principal Component Analysis for Spatial Data

This repository contains iPython notebooks that run on the octave kernel to accompany tutorial and slides presented at PRNI

Code for implementing Factor Analysis with BLEssing of dimensionality (FABLE).

Website construction from data analysis conducted in Black-Litterman Implied Covariance project

Different optimization algorithms like Hill climbing, Simulated annealing, Late accepted Hill climbing , Genetic Algorithm is implemented from scratch.

Index and Factor Construction with Implied Covariance Process