Covariance Estimation Python Packages

pyriemann

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

factorlasso

Sparse multi-output factor-model estimation with sign constraints, prior-centered shrinkage, data-driven grouped penalties, and consistent factor covariance assembly

optimalportfolios

Production multi-asset portfolio construction and rolling backtesting in Python

deeptime

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

precise

Online Covariance and Correlation Estimation

robustcov

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

spatial-adapter

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