.. _example_plot_covariance_estimation.py:


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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-