Random covariance generation
Project description
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')
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