Covar: shrinkage covariance estimation

This Python package contains two functions, cov_shrink_ss() and cov_shrink_rblw() which implements plug-in shrinkage estimators for the covariance matrix.

The cov_shrink_ss() estimator is described by Schafer and Strimmer (2005), where it is called “Target D: (diagonal, unequal variance)”. The cov_shrink_rblw() estimator is described by Chen Yilun, Wiesel, and Hero (2009).

_images/test_2.png

Installation

$ pip install covar

Dependencies

Python (2.7, or 3.3+), Numpy (1.6 or later), Scipy (0.16 or later), Cython

covar.cov_shrink_ss Compute a shrinkage estimate of the covariance matrix using the Schafer and Strimmer (2005) method.
covar.cov_shrink_rblw Compute a shrinkage estimate of the covariance matrix using the Rao-Blackwellized Ledoit-Wolf estimator described by Chen et al.