Generating random covariance and correlation matrices.

pip install randomcov 

or for latest

pip install git+/~https://github.com/microprediction/randomcov.git

from randomcov import random_covariance_matrix
cov = random_covariance_matrix(n=50, corr_method='residuals', var_method='lognormal')

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.