heavytail

Covariance estimation in the presence of fat tails and outliers

Documentation

For detailed description of the API and usage examples, please visit our most up-to-date documentation.

Installation

Install the package locally

$ uv pip install -e .[docs, tests, dev]

Install the package from PyPI

Usage

fromheavytail.tylerimporttyler_covariancetyler_cov=tyler_covariance(data=data, max_iter=100, tol=1e-6)