sklearn.covariance.shrunk_covariance

sklearn.covariance.shrunk_covariance(emp_cov, shrinkage=0.1)

Calculates a covariance matrix shrunk on the diagonal

Parameters:

emp_cov : array-like, shape (n_features, n_features)

Covariance matrix to be shrunk

shrinkage : float, 0 <= shrinkage <= 1

Coefficient in the convex combination used for the computation of the shrunk estimate.

Returns:

shrunk_cov : array-like

Shrunk covariance.

Notes

The regularized (shrunk) covariance is given by

(1 - shrinkage)*cov

• shrinkage*mu*np.identity(n_features)

where mu = trace(cov) / n_features