Covariance shrinkage for begginers with Python implementation
Published:
Covariance matrices are one of the most important objects in statistics and machine learning, essential to many algorithms. But estimating covariance matrices can be difficult, especially in high-dimensional settings. In this post we introduce covariance shrinkage, a technique to improve covariance matrix estimation. We also provide a PyTorch implementation of a popular shrinkage technique, the Oracle Approximating Shrinkage (OAS) estimator.