Covariance Python Packages

pyportfolioopt

Financial portfolio optimization in python, including classical efficient frontier, Black-Litterman, Hierarchical Risk Parity

batchstats

Python package for efficient, online statistical computations on streaming or large-scale data

calibsense

Measurement uncertainty for camera calibration: covariance, diagnosis and task-space error, not just a reprojection number

rie-estimator

Package to calculate the RIE estimator of a correlation matrix

statmoments

Fast streaming univariate and bivariate moments and t-statistics

canopy-optimizer

Institutional-grade hierarchical portfolio optimization in Python — HRP, HERC, NCO — with robust covariance estimation, risk measures, walk-forward backtesting, and compliance audit trails.

multinorm

Multivariate Normal Distributions from Python

wlcovpy

Weak-lensing three-point covariance code with C/Python interfaces, examples, and Sphinx documentation.