.. _example_plot_covariance_estimation.py: =========================================== Ledoit-Wolf vs Covariance simple estimation =========================================== Covariance estimation can be regularized using a shrinkage parameter. Ledoit-Wolf estimates automatically this parameter. In this example, we compute the likelihood of unseen data for different values of the shrinkage parameter. The Ledoit-Wolf estimate reaches an almost optimal value. .. image:: images/plot_covariance_estimation.png :align: center **Python source code:** :download:`plot_covariance_estimation.py <plot_covariance_estimation.py>` .. literalinclude:: plot_covariance_estimation.py :lines: 12-