An R package for assumption-lean covariance matrix estimation in high dimensions

Code for extended LBP operators and geometric-based feature descriptors in ACIIDS2016

This code tests the basic idea of my Master thesis. I propose an improved estimator of the covariance matrix of asset returns, employed in the computation of the minimum-variance portfolio. The main.py script tests the out-of-sample performance of this estimator, which is shown to deliver much better results than the sample covariance matrix and…

R package for estimating sparse and positive definite basis covariance matrices from compositional data

RascalC: A Fast Code for Galaxy Covariance Matrix Estimation

Cleaned repository focusing on running RascalC library for semi-analytical galaxy 2-point correlation function covariance matrices