Covariance Estimation Python Packages

pyriemann

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

deeptime

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

robustcov

Robust scatter geometry for anomaly detection, kernels, and ML workflows in Python.

precise

Online Covariance and Correlation Estimation

spatial-adapter

Spatial adapter for frozen predictors: low-rank residual decomposition, closed-form covariance, and kriging-style prediction.