Covariance prediction via convex optimization (covpred) in Python. This package implements the methods described in the paper Covariance Prediction via Convex Optimization. At a high level, the package creates covariance matrix predictors. For more details behind the methods, we highly recommend checking out the paper.

Run

pip install git+https://github.com/cvxgrp/covpred.git

There are two examples, both of which can be found in the examples folder. To see how the package is used, we recommend checking out the examples.

If you use covpred in your research, please consider citing us by using the following bibtex:

@misc{barratt2021covariance,
  title={Covariance prediction via convex optimization},
  author={Barratt, Shane and Boyd, Stephen}
  year={2021},
  howpublished={\texttt{https://stanford.edu/~boyd/papers/forecasting_covariances.html}}
}

This repository carries a permissive Apache 2.0 license.