Metadata-Version: 2.1
Name: randomcov
Version: 0.0.15
Summary: Random covariance generation
Home-page: https://github.com/microprediction/randomcov
Author: microprediction
Author-email: peter.cotton@microprediction.com
License: MIT
Classifier: License :: OSI Approved :: MIT License
Classifier: Programming Language :: Python :: 3
Classifier: Programming Language :: Python :: 3.8
Classifier: Programming Language :: Python :: 3.9
Classifier: Programming Language :: Python :: 3.10
Classifier: Programming Language :: Python :: 3.11
Classifier: Programming Language :: Python :: 3.12
Description-Content-Type: text/markdown
License-File: LICENSE
Requires-Dist: numpy
Requires-Dist: scikit-learn
Requires-Dist: scipy
Requires-Dist: statsmodels

# 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.  


