robustcov 0.0.1

Robust covariance, heavy-tail scatter estimation, anomaly diagnostics, and benchmark galleries

robustcov

robustcov is an experimental Python/C++ library for robust covariance, heavy-tail scatter estimation, and interpretable anomaly diagnostics.

It is designed for workflows where classical covariance estimates are unstable: contamination, heavy-tailed data, small samples, high-dimensional scatter estimation, and robust-distance based anomaly screening.

Status: alpha / experimental. APIs and benchmark pages may change before a stable release.

Highlights

• Fast robust covariance via FastMCD
• Heavy-tail scatter estimators: RegularizedCauchy, StudentTScatter, RegularizedTyler
• Robust anomaly detection with Mahalanobis-style robust distances
• Cluster-aware robust diagnostics for multimodal data
• Visual diagnostics: distance profiles, QQ plots, covariance heatmaps, anomaly panels
• Optional OpenMP acceleration in the C++ backend
• Sphinx documentation with benchmark and use-case galleries
• Optional external/Kaggle examples for fraud, finance, maintenance, and medical screening

Installation

From PyPI after a release is published:

python -m pip install -U pip
python -m pip install robustcov

Supported release wheels are built for CPython 3.12, 3.13, and 3.14 on Ubuntu, Windows, and macOS by GitHub Actions. The package uses a C++/pybind11 backend built with scikit-build-core.

Inside a conda environment, install the PyPI wheels with pip:

conda create -n robustcov python=3.12 pip
conda activate robustcov
python -m pip install robustcov

For local development:

git clone https://github.com/smiryusupov/robustcov.git
cd robustcov

python -m venv .venv
source .venv/bin/activate  # Windows: .venv\Scripts\activate

python -m pip install -U pip
python -m pip install -e ".[dev,docs,examples]"
python -m compileall -q robustcov tests examples benchmarks docs
python -m pytest -q

Quickstart

import numpy as np
import robustcov as rc

rng = np.random.default_rng(0)

# Heavy-tailed data with injected outliers
X = rng.standard_t(df=3, size=(400, 5))
X[:30] += 8.0

est = rc.FastMCD(quality="balanced", random_state=42).fit(X)

print(est.location_)
print(est.covariance_)
print(est.radial_kurtosis_)

det = rc.RobustOutlierDetector(estimator=est, contamination=0.075).fit(X)
print(det.labels_)

For small-sample or high-dimensional heavy-tailed data:

est = rc.RegularizedCauchy(alpha=0.10).fit(X)
print(est.covariance_)

student = rc.StudentTScatter(df=3, alpha=0.05).fit(X)
print(student.radial_kurtosis_)

For automatic exploratory selection:

auto = rc.AutoRobustScatter(selection="diagnostic").fit(X)

print(auto.best_estimator_name_)
print(auto.summary())

Main estimators

Estimator	Best use case	Notes
FastMCD	Separable contamination, n >> p	Fast robust covariance and support diagnostics
RegularizedCauchy	Very heavy tails, small samples, p close to n	Strong radial downweighting plus shrinkage
StudentTScatter	Diffuse heavy tails	Smooth heavy-tail scatter estimator
RegularizedTyler	Heavy-tailed shape estimation	Scale-free shape unless scale correction is requested
AutoRobustScatter	Exploratory estimator selection	Diagnostic or stability-based selector
ClusterRobustOutlierDetector	Multimodal data	Cluster-then-local-robust-scatter diagnostic

KLRegularizedTyler and WieselTyler are currently documented as aliases/prototype variants around the regularized Tyler implementation. HellingerRegularizedTyler is experimental.

Visual diagnostics

est = rc.FastMCD(quality="balanced", random_state=0).fit(X)

rc.plot_robust_distance_profile(
    est,
    output_path="distance_profile.png",
    show=False,
)

rc.plot_mahalanobis_qq(
    est,
    output_path="qq.png",
    show=False,
)

rc.plot_covariance_heatmap(
    est.covariance_,
    title="FastMCD covariance",
    output_path="covariance.png",
    show=False,
)

Diagnostic reports summarize robust-distance behavior:

report = rc.diagnostic_report(est)
print(report.summary())

Reports include radial kurtosis, detected fraction, condition number, support fraction, QQ tail deviation, and heuristic recommendations.

Multimodal data

A single global robust covariance model can fail when the data have several legitimate modes. Use cluster-aware diagnostics when modes correspond to meaningful groups, regimes, or segments.

det = rc.ClusterRobustOutlierDetector(
    n_clusters=3,
    contamination=0.05,
    random_state=0,
).fit(X)

scores = det.decision_function(X)
labels = det.predict(X)

rc.plot_cluster_robust_distances(
    det,
    X,
    output_path="cluster_distances.png",
    show=False,
)

This is not a full robust mixture model. It is a practical cluster-then-robust-scatter diagnostic.

OpenMP acceleration

If OpenMP is available at build time, the C++ backend can parallelize distance evaluation, covariance accumulation, Tyler scatter updates, and FastMCD candidate evaluation.

import robustcov as rc

print(rc.has_openmp())
rc.set_num_threads(4)

est = rc.FastMCD(n_init=500, n_jobs=4, random_state=0).fit(X)

For reproducible scaling benchmarks, avoid BLAS/OpenMP oversubscription:

OMP_NUM_THREADS=4 OPENBLAS_NUM_THREADS=1 MKL_NUM_THREADS=1 \
python benchmarks/openmp_scaling.py \
  --n 8000 \
  --p 20 \
  --threads 1 2 4 \
  --csv results/openmp_scaling.csv

Documentation

Build the Sphinx docs locally:

python -m pip install -e ".[docs]"
python -m sphinx -b html docs docs/_build/html

Main documentation entry points:

• Use-case gallery: practical application pages organized by topic
• Benchmark gallery: benchmark plots, tables, and interpretation
• Algorithms: mathematical descriptions and references
• Robust statistics background: influence functions, Gateaux derivatives, breakdown point, geodesic convexity, and small-sample issues
• External and Kaggle gallery: optional external-data results

Do not commit docs/_build/; it is generated by Sphinx.

Benchmarks

Generate the benchmark report:

OMP_NUM_THREADS=4 OPENBLAS_NUM_THREADS=1 MKL_NUM_THREADS=1 \
python benchmarks/make_report.py --outdir results/report

This writes CSV files, plots, a Markdown report, and a standalone HTML report:

results/report/benchmark_report.html
results/report/benchmark_report.md
results/report/*.csv
results/report/*.png

The benchmark documentation is intentionally honest. robustcov is not expected to win every anomaly-detection task. The package is strongest when the signal is covariance-shaped, heavy-tailed, high-dimensional, or benefits from interpretable robust distances.

Examples

Run the reproducible use-case gallery:

python examples/run_use_case_gallery.py --all

Selected examples:

python examples/use_case_finance_risk.py
python examples/use_case_multimodal_anomaly.py
python examples/use_case_sensor_anomaly.py
python examples/use_case_breast_cancer_screening.py
python examples/use_case_digits_one_class_baselines.py
python examples/use_case_ml_preprocessing.py

Refresh generated gallery assets after editing examples:

python docs/generate_gallery_assets.py
python -m sphinx -b html docs docs/_build/html

External and Kaggle examples

External examples live under examples_external/. They are optional and are not part of the test suite because they require manual dataset downloads and may have separate licenses.

Example:

python examples_external/kaggle_credit_card_fraud.py \
  --data examples_external/data/creditcard.csv \
  --outdir results/external/credit_card_fraud

Collect external result summaries:

python examples_external/collect_external_results.py \
  --root results/external \
  --outdir results/external_registry

External result pages should be read as evidence, not as leaderboard claims. Some datasets are strong wins, some are competitive but slower, and some are included mainly to show limitations.

Scope

robustcov currently focuses on:

1. efficient robust covariance for classical contamination;
2. heavy-tail scatter estimators for small-sample/high-dimensional regimes;
3. robust-distance anomaly diagnostics;
4. application and benchmark galleries with reproducible scripts.

Minimum-volume ellipsoid and full robust mixture modeling are not core priorities yet. They may be added later as experimental features if they strengthen the package without distracting from the current scope.

Development

python -m pip install -e ".[dev,docs]"
python -m pytest -q
python -m sphinx -b html docs docs/_build/html

Build distribution artifacts:

python -m build
python -m twine check dist/*

Release wheels are built by .github/workflows/wheels.yml using cibuildwheel. Push a v* tag to publish to PyPI via Trusted Publishing after configuring the pypi environment on PyPI/GitHub. See RELEASE.md for the full checklist.

Project status

This is a pre-1.0 alpha package. Public APIs may change. The goal of the early releases is to make the estimators, diagnostics, benchmarks, and documentation easy to inspect before stabilizing the interface.

License

Apache-2.0. See LICENSE.

Citation

If you use robustcov in research or applied work, please cite the package using the metadata in CITATION.cff.