Covariance Matrix Python Packages

pyriemann

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

coffe

Python wrapper for the COrrelation Function Full-sky Estimator code

precise

World beating online covariance and portfolio construction.

pycudacov

A PyCUDA covariance matrix parallel implementation

pyriemann-qiskit

A library for machine learning and quantum programming based on pyRiemann and Qiskit projects

skggm

Gaussian graphical models for scikit-learn.

linearcorex

Fast, linear version of CorEx for covariance estimation, dimensionality reduction, and subspace clustering with very under-sampled, high-dimensional data

skggm2

Scikit-learn compatible estimation of general graphical models