Hello,

CovarianceEstimation.jl is a new package for estimating covariance of given samples. It currently focuses on linear shrinkage methods (but has one nonlinear shrinkage algorithm) and is written in pure Julia.

There already is a similar package, CovarianceMatrices.jl but it calculates covariance of coefficient of regression models. `CovarianceEstimation.jl`

is also aiming to be more lightweight.

I would like to thank Thibaut Lienart for his valuable contributions. Thanks to his work the package turned out to be significantly faster than scikit-learn and corpcor.

Kind regards

Mateusz Baran