协方差估计

有关的例子 sklearn.covariance module.

Ledoit-Wolf与OAS估计

Ledoit-Wolf vs OAS estimation

稳健协方差估计和Mahalanobis距离相关性

Robust covariance estimation and Mahalanobis distances relevance

稳健与经验协方差估计

Robust vs Empirical covariance estimate

收缩协方差估计：LedoitWolf vs OAS和最大似然

Shrinkage covariance estimation: LedoitWolf vs OAS and max-likelihood

稀疏逆协方差估计

Sparse inverse covariance estimation