Python library for analysis of time series data including dimensionality reduction, clustering, and Markov model estimation

Machine learning for multivariate data through the Riemannian geometry of positive definite matrices in Python

World beating online covariance and portfolio construction.

Lightweight robust covariance estimation in Julia

Implementation of linear CorEx and temporal CorEx.

Mean and Covariance Matrix Estimation under Heavy Tails

R Package: Regularized Principal Component Analysis for Spatial Data

Statistical Tools for Covariance Analysis

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

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

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

General purpose correlation and covariance estimation

gips - Gaussian model Invariant by Permutation Symmetry

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

R package for Partially Separable Multivariate Functional Data and Functional Graphical Models

R code and dataset for the paper on spatially functional data

A Python front-end for the large-scale graphical LASSO optimizer BigQUIC (written in R).

This repository contains iPython notebooks that run on the octave kernel to accompany tutorial and slides presented at PRNI

Official implementation of Capturing Between-Tasks Covariance and Similarities Using Multivariate Linear Mixed Models [EJS 2020]

A repo for toy examples to test uncertainties estimation of neural networks