randomcov

Name	randomcov JSON
Version	0.0.15 JSON
	download
home_page	https://github.com/microprediction/randomcov
Summary	Random covariance generation
upload_time	2024-11-17 05:02:28
maintainer	None
docs_url	None
author	microprediction
requires_python	None
license	MIT
keywords
VCS
bugtrack_url
requirements	No requirements were recorded.
Travis-CI	No Travis.
coveralls test coverage	No coveralls.

            # 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.  



            

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