8.2.10. 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