covariance

Well-conditioned estimation of large-dimensional covariance matrices

https://github.com/dschrempf/covariance

Version on this page:0.1.0.5
LTS Haskell 22.14:0.2.0.1
Stackage Nightly 2024-03-28:0.2.0.1
Latest on Hackage:0.2.0.1

See all snapshots covariance appears in

GPL-3.0-or-later licensed by Dominik Schrempf
Maintained by [email protected]
This version can be pinned in stack with:covariance-0.1.0.5@sha256:9bfeabf73b7768033df0f23045a22ebad983e99ebf248d578d75c46fe750d008,1640

Module documentation for 0.1.0.5

Used by 1 package in nightly-2021-12-03(full list with versions):

Please see the README on GitHub at https://github.com/dschrempf/covariance#readme

Changes

Revision history for covariance

Unreleased changes

0.1.0.4

  • Graphical lasso (for now only re-export from glasso library).

0.1.0.3

  • Fix tests and docs.

0.1.0.2

  • scale, rescaleWith functions.
  • Avoid duplicate centering.

0.1.0.1

  • Fix tests, remove debug output.

0.1.0.0

  • Shrinkage based estimators.