covariance-estimation 开源项目推荐（62 个）

deeptime-ml /deeptime

用于时间序列数据分析的 Python 库，包括降维、聚类和马尔可夫模型估计

pyRiemann /pyRiemann

通过Python中的正值矩阵的Riemann几何进行多元数据的机器学习

microprediction /precise

Online Covariance and Correlation Estimation

ArturSepp /OptimalPortfolios

在Python中实现用于构建和回测最优投资组合的优化分析

mateuszbaran /CovarianceEstimation.jl

Lightweight robust covariance estimation in Julia

hrayrhar /T-CorEx

Implementation of linear CorEx and temporal CorEx.

dcelisgarza /PortfolioOptimisers.jl

Julia 的投资组合优化库。超过 50 种风险度量（CVaR、EVaR、RLVaR、回撤、OWA）、分层风险平价、HERC、嵌套聚类优化、风险预算、近最优居中、四种 Black-Litterman 变体、熵池、因子与高阶先验、去噪，以及基于 JuMP 的凸与非凸优化。

ArturSepp /factorlasso

Sparse multi-output factor-model estimation with sign constraints, prior-centered shrinkage, data-driven grouped penalties, and consistent factor covariance assembly

convexfi /fitHeavyTail

Mean and Covariance Matrix Estimation under Heavy Tails

egpivo /SpatPCA

R Package: Regularized Principal Component Analysis for Spatial Data

benediktfesl /Quantized_Channel_Estimation

Implementation of the Paper "Channel Estimation for Quantized Systems based on Conditionally Gaussian Latent Models".

kisungyou /CovTools

Statistical Tools for Covariance Analysis

luca590 /High-Dimensional-Statistics

PCA, Factor Analysis, CCA, Sparse Covariance Matrix Estimation, Imputation, Multiple Hypothesis Testing

PrzeChoj /gips

gips - Gaussian model Invariant by Permutation Symmetry

bsaul /geex

Framework for estimating parameters and the empirical sandwich covariance matrix from a set of unbiased estimating equations (i.e. M-estimation) in R.

dipamgoswami /FedCOF

Code for NeurIPS 2025 paper - Covariances for Free: Exploiting Mean Distributions for Training-free Federated Learning

SuleynanAuir /Amazon-TSChronos

Chronos-2 是一个用于时间序列预测的基础模型，基于 Chronos 和 Chronos-Bolt 构建。它提供了显著的能力改进，可以处理早期模型不支持的多种预测场景。支持的场景包括（1）单变量时间序列预测：经典的时间序列预测任务；（2）跨项目学习：利用多个相关时间序列的信息进行预；（3）多变量预测：同时预测多个相关目标变量（3）带协变量的预测：仅过去协变量：在预测时已知的历史协变量（如过去的天气数据） + 已知未来协变量：预测期间已知的协变量（如节假日、计划事件）

haozhestat /spatialFDA

R code and dataset for the paper on spatially functional data

AEBilgrau /correlateR

General purpose correlation and covariance estimation

dwrobel /TrivialKalmanFilter

Unidimensional trivial Kalman filter (header only, Arduino compatible) library