sklearn.covariance.shrunk_covariance

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

Calculate a covariance matrix shrunk on the diagonal.

Read more in the User Guide.

Parameters:

emp_covarray-like of shape (n_features, n_features)

Covariance matrix to be shrunk.

shrinkagefloat, default=0.1

Coefficient in the convex combination used for the computation of the shrunk estimate. Range is [0, 1].

Returns:

shrunk_covndarray of shape (n_features, n_features)

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.