covariance

Well-conditioned estimation of large-dimensional covariance matrices

https://github.com/dschrempf/covariance

LTS Haskell 23.14:	0.2.0.1
Stackage Nightly 2025-03-14:	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 dominik.schrempf@gmail.com

This version can be pinned in stack with:covariance-0.2.0.1@sha256:5f6e57178120a230a0a8c17319fee4ad65eb5c8e07a74d65902a4e9c5b29a06a,1640

Module documentation for 0.2.0.1

Statistics
- Statistics.Covariance

Depends on 5 packages(full list with versions):

base, glasso, hmatrix, statistics, vector

Used by 1 package in nightly-2025-03-14(full list with versions):

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

Changes

Revision history for covariance

Unreleased changes

0.2.0.1

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.