Toggle Menu
Prev Up Next

scikit-learn 1.3.2
Other versions

Please cite us if you use the software.

# `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_cov array-like of shape (n_features, n_features)

      Covariance matrix to be shrunk.

    shrinkage float, default=0.1

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

  Returns:
    shrunk_cov ndarray 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`.