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Is it possible to estimate the covariance of predictions made using a causal or regression forest or are there any plans to implement such a feature?
Such estimates would be very useful for analyz…
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Hi,
I wanted to know if there is a specific reason why, in asr_calibrate, the following loop was used for the covariance estimation
line 158
```
% calculate the sample covariance matrices U (…
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Hello all,
And first of all thanks for making this great software open for everybody!
Covariance estimation has been discussed also here before:
#1405
#904
#811
...I too faced the need of c…
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I've been working on a Python implementation of the Orthogonalized Gnanadesikan-Kettenring (OGK) robust covariance estimator of https://www.tandfonline.com/doi/abs/10.1198/004017002188618509. I don't …
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We're now using the shrinkage technique from [this paper](https://arxiv.org/abs/0907.4698) in the concept-erasure repo; it makes covariance estimation robust to small sample sizes. Might make CRC-TPC,…
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### Discussed in https://github.com/scikit-learn/scikit-learn/discussions/23161
Originally posted by **hongfei0224** April 20, 2022
I was playing with MinCovDet (Minimum Covariance Determinant…
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Hi @Marigold,
You suggested to implement Ledoit-Wolf covariance estimation at the end of [modern-portfolio-theory.ipynb](https://github.com/Marigold/universal-portfolios/blob/master/modern-portfoli…
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# Regularized Gaussian Covariance Estimation
讨论了在 Gaussian 分布参数估计时 Covariance 矩阵有时候会是 singular 的原因,并给出了解决办法以及背后的原理介绍。
[https://freemind.pluskid.org/machine-learning/regularized-gaussian-covariance-e…
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#### Description
LDA and QDA are inconsistent in how they estimate the class wise covariance matrix.
For QDA the relevant line of code is:
https://github.com/scikit-learn/scikit-learn/blob/14…
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