Published March 7, 2026
| Version 0.1.0
Software
Open
covmats
Authors/Creators
Description
🐍 Covariance matrices representation.
**The complete and up to date documentation can be found here**: https://covmats.readthedocs.io.
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🎯 Motivations
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Calculations involving covariance matrices (e.g. linear algebra, data whitening,
multivariate normal function evaluation) are often performed more efficiently using
a decomposition of the covariance matrix instead of the covariance matrix itself.
For large scale application, a dense covariance matrix would not even fit in memory and
one must rely on low-rank approxiations.
This package allows the user to construct an object representing a covariance matrix
using any of several decompositions/approximations and perform calculations using a
common interface.
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