An R package for assumption-lean covariance matrix estimation in high dimensions
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Feb 17, 2024 - R
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covariance-matrix-estimation
Here are 6 public repositories matching this topic...
Code for extended LBP operators and geometric-based feature descriptors in ACIIDS2016
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Dec 12, 2017 - C++
This code tests the basic idea of my Master thesis. I propose an improved estimator of the covariance matrix of asset returns, employed in the computation of the minimum-variance portfolio. The main.py script tests the out-of-sample performance of this estimator, which is shown to deliver much better results than the sample covariance matrix and…
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Oct 5, 2021 - Python
R package for estimating sparse and positive definite basis covariance matrices from compositional data
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May 15, 2024 - R
RascalC: A Fast Code for Galaxy Covariance Matrix Estimation
python cpp openmp cosmology astrophysics galaxies large-scale-structure monte-carlo-integration correlation-functions empirical-models covariance-matrix-estimation
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Dec 23, 2024 - Python
Cleaned repository focusing on running RascalC library for semi-analytical galaxy 2-point correlation function covariance matrices
python cosmology astrophysics galaxies large-scale-structure correlation-functions empirical-models covariance-matrix-estimation
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Dec 23, 2024 - Python
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