covpred
Covariance prediction via convex optimization (covpred
) in Python.
This package implements the methods described in the paper Covariance Prediction via Convex Optimization.
At a high level, the package creates covariance matrix predictors.
For more details behind the methods, we highly recommend checking out the paper.
Installation
Run
pip install git+https://github.com/cvxgrp/covpred.git
Running the examples
There are two examples, both of which can be found in the examples
folder. To see how the package is used, we recommend checking out the examples.
Citing
If you use covpred
in your research, please consider citing us by using the following bibtex:
@misc{barratt2021covariance,
title={Covariance prediction via convex optimization},
author={Barratt, Shane and Boyd, Stephen}
year={2021},
howpublished={\texttt{https://stanford.edu/~boyd/papers/forecasting_covariances.html}}
}
License
This repository carries a permissive Apache 2.0 license.