In probability theory and statistics, covariance is a measure of the joint variability of two random variables. If the greater values of one variable mainly correspond with the greater values of the ...

The `batch_shape` is the broadcast shape between `loc` and `covariance_matrix` arguments. The `event_shape` is given by last dimension of the matrix implied by `covariance_matrix`. The last dimension ...

Spread the loveCovariance is a statistical measurement that evaluates the relationship between two variables. It indicates whether the two variables tend to increase or decrease simultaneously, or if ...

Learn how covariance is used to reduce risk in modern portfolio theory, how covariance is calculated and how it is used to provide portfolio diversification.

This paper proposes a novel shrinkage estimator for high-dimensional covariance matrices by extending the Oracle Approximating Shrinkage (OAS) of Chen et al. (2009) to target the diagonal elements of ...