kevhuy / POET

Python Implementation for Large Covariance Estimation by Thresholding Principal Orthogonal Complements

POET

Python Implementation for Large Covariance Estimation by Thresholding Principal Orthogonal Complements

References:

1. https://arxiv.org/abs/1201.0175
2. https://cran.r-project.org/web/packages/POET/