9.9.8. sklearn.covariance.shrunk_covariance¶
- sklearn.covariance.shrunk_covariance(emp_cov, shrinkage=0.10000000000000001)¶
Calculates a covariance matrix shrunk on the diagonal
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