covariance-matrix-estimation

There are 1 repository under covariance-matrix-estimation topic.

• PhilBoileau / cvCovEst

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

  covariance-matrix-estimationcross-validationhigh-dimensional-statisticsnonparametric-statistics
  Language:R 12

• quangtrungtruong / covariance-matrix-estimation-and-knn-classifier-for-facial-expression-recognition

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

  covariance-matrix-estimationfacial-expression-recognition
  Language:C++ 10

• fedepepe / ImprovingMVPortfolio

  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 the equally-weighted portfolio.

  mean-variance-optimizationcovariance-matrix-estimationportfolio-optimization
  Language:Python 2

• misharash / RascalC

  RascalC: A Fast Code for Galaxy Covariance Matrix Estimation

  astrophysicscorrelation-functionscosmologycovariance-matrix-estimationcppempirical-modelsgalaxieslarge-scale-structuremonte-carlo-integrationopenmppython
  Language:Python 1

• misharash / RascalC-scripts

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

  astrophysicscorrelation-functionscosmologycovariance-matrix-estimationempirical-modelsgalaxieslarge-scale-structurepython
  Language:Python 0