randomcov 0.0.15

Random covariance generation

randomcov

Generating random covariance and correlation matrices.

Install

pip install randomcov 

or for latest

pip install git+https://github.com/microprediction/randomcov.git

Example

from randomcov import random_covariance_matrix
cov = random_covariance_matrix(n=50, corr_method='residuals', var_method='lognormal')

Motivation

To collect standard but also novel correlation and covariance generation methods, in order to better understand when some estimation methods work better than others in different contexts: such as the construction of machine learning model ensembles, combinations of forecasts, or financial portfolios.