covar: shrinkage covariance estimation
This Python package contains a single function,
cov_shrink which implements
a plug-in shrinkage estimator for the covariance matrix.
The estimator is described by Schafer and Strimmer (2005), where it is called "Target D: (diagonal, unequal variance)".
See the documentation for more details.
pip install covar
- Python (2.7, or 3.3+)
- scipy (0.16+)