covariance

Well-conditioned estimation of large-dimensional covariance matrices

https://github.com/dschrempf/covariance

LTS Haskell 23.0:0.2.0.1
Stackage Nightly 2024-12-18:0.2.0.1
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-0.2.0.1@sha256:5f6e57178120a230a0a8c17319fee4ad65eb5c8e07a74d65902a4e9c5b29a06a,1640

Module documentation for 0.2.0.1

Used by 1 package in lts-23.0(full list with versions):
mcmc

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

Changes

Revision history for covariance

Unreleased changes

0.2.0.1

  • Compilation and tooling with GHC 9.2.3.

0.2.0.0

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

0.1.0.5

  • Tooling updates.

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.