9.9.3. sklearn.covariance.ShrunkCovariance

class sklearn.covariance.ShrunkCovariance(store_precision=True, shrinkage=0.10000000000000001)

Covariance estimator with shrinkage

Parameters :

store_precision : bool

Specify if the estimated precision is stored

shrinkage: float, 0 <= shrinkage <= 1 :

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

Notes

The regularized covariance is given by

(1 - shrinkage)*cov

• shrinkage*mu*np.identity(n_features)

where mu = trace(cov) / n_features

Attributes

covariance_	array-like, shape (n_features, n_features)	Estimated covariance matrix
precision_	array-like, shape (n_features, n_features)	Estimated pseudo inverse matrix. (stored only if store_precision is True)
shrinkage: float, 0 <= shrinkage <= 1		coefficient in the convex combination used for the computation of the shrunk estimate.

Methods

error_norm(comp_cov[, norm, scaling, squared])	Computes the Mean Squared Error between two covariance estimators.
fit(X[, assume_centered])	Fits the shrunk covariance model according to the given training data and parameters.
score(X_test[, assume_centered])	Computes the log-likelihood of a gaussian data set with self.covariance_ as an estimator of its covariance matrix.
set_params(**params)	Set the parameters of the estimator.

__init__(store_precision=True, shrinkage=0.10000000000000001)

error_norm(comp_cov, norm='frobenius', scaling=True, squared=True)

Computes the Mean Squared Error between two covariance estimators. (In the sense of the Frobenius norm)

Parameters :

comp_cov: array-like, shape = [n_features, n_features] :

The covariance which to be compared to.

norm: str :

The type of norm used to compute the error. Available error types: - ‘frobenius’ (default): sqrt(tr(A^t.A)) - ‘spectral’: sqrt(max(eigenvalues(A^t.A)) where A is the error (comp_cov - self.covariance_).

scaling: bool :

If True (default), the squared error norm is divided by n_features If False, the squared error norm is not rescaled

squared: bool :

Whether to compute the squared error norm or the error norm. If True (default), the squared error norm is returned. If False, the error norm is returned.

Returns :

The Mean Squared Error (in the sense of the Frobenius norm) between :

`self` and `comp_cov` covariance estimators. :

fit(X, assume_centered=False)

Fits the shrunk covariance model according to the given training data and parameters.

Parameters :

X : array-like, shape = [n_samples, n_features]

Training data, where n_samples is the number of samples and n_features is the number of features.

assume_centered: Boolean :

If True, data are not centered before computation. Usefull to work with data whose mean is significantly equal to zero but is not exactly zero. If False, data are centered before computation.

Returns :

self : object

Returns self.

score(X_test, assume_centered=False)

Computes the log-likelihood of a gaussian data set with self.covariance_ as an estimator of its covariance matrix.

Parameters :

X_test : array-like, shape = [n_samples, n_features]

Test data of which we compute the likelihood, where n_samples is the number of samples and n_features is the number of features.

Returns :

res: float :

The likelihood of the data set with self.covariance_ as an estimator of its covariance matrix.

set_params(**params)

Set the parameters of the estimator.

The method works on simple estimators as well as on nested objects (such as pipelines). The former have parameters of the form <component>__<parameter> so that it’s possible to update each component of a nested object.

Returns :self :