Well-conditioned estimation of large-dimensional covariance matrices

LTS Haskell 22.17:
Stackage Nightly 2024-04-19:
Latest on Hackage:

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

Module documentation for

Used by 1 package in nightly-2024-04-19(full list with versions):

Please see the README on GitHub at


Revision history for covariance

Unreleased changes

  • Compilation and tooling with GHC 9.2.3.

  • Rename rescaleWith to rescaleSWith to indicate the rescaling of covariance matrices.
  • Add rescalePWith to rescale precision matrices.

  • Tooling updates.

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

  • Fix tests and docs.

  • scale, rescaleWith functions.
  • Avoid duplicate centering.

  • Fix tests, remove debug output.

  • Shrinkage based estimators.