Crate regit_covariance 

regit-covariance

Covariance matrix denoising for financial risk validation.

This crate implements Marchenko-Pastur filtering, Ledoit-Wolf shrinkage, and detoning for large-dimensional covariance matrices. Built to validate PRIIPs risk metrics against prescribed regulatory methodology.

Pure mathematical core: no I/O, no async, no network. Compatible with wasm32-unknown-unknown and wasm32-wasi targets. The full pipeline (returns -> correlation -> denoise -> VaR -> SRI) runs synchronously and deterministically.

For market-data ingestion (Yahoo Finance) see the companion crate regit-covariance-yahoo. For an HTTP demo server see regit-covariance-server.

Part of Regit OS, the operating system for investment products.

Modules

• data — Log-return computation from price levels.
• math — Covariance estimation, denoising, shrinkage, risk metrics.

Modules

data

Data transformation primitives.

math

Mathematical core — covariance estimation, denoising, and risk metrics.