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.

Installation

pip install covar

Dependencies

1. Python (2.7, or 3.3+)
2. numpy
3. scipy (0.16+)
4. cython