val of_pyobject : Py.Object.t -> tval to_pyobject : t -> Py.Object.tval create : ?store_precision:bool -> ?assume_centered:bool -> unit -> tOracle Approximating Shrinkage Estimator
Read more in the :ref:`User Guide <shrunk_covariance>`.
OAS is a particular form of shrinkage described in "Shrinkage Algorithms for MMSE Covariance Estimation" Chen et al., IEEE Trans. on Sign. Proc., Volume 58, Issue 10, October 2010.
The formula used here does not correspond to the one given in the article. In the original article, formula (23) states that 2/p is multiplied by Trace(cov*cov) in both the numerator and denominator, but this operation is omitted because for a large p, the value of 2/p is so small that it doesn't affect the value of the estimator.
Parameters ---------- store_precision : bool, default=True Specify if the estimated precision is stored.
assume_centered : bool, default=False If True, data will not be centered before computation. Useful when working with data whose mean is almost, but not exactly zero. If False (default), data will be centered before computation.
Attributes ---------- covariance_ : array-like, shape (n_features, n_features) Estimated covariance matrix.
precision_ : array-like, shape (n_features, n_features) Estimated pseudo inverse matrix. (stored only if store_precision is True)
shrinkage_ : float, 0 <= shrinkage <= 1 coefficient in the convex combination used for the computation of the shrunk estimate.
Notes ----- The regularised covariance is:
(1 - shrinkage) * cov + shrinkage * mu * np.identity(n_features)
where mu = trace(cov) / n_features and shrinkage is given by the OAS formula (see References)
References ---------- "Shrinkage Algorithms for MMSE Covariance Estimation" Chen et al., IEEE Trans. on Sign. Proc., Volume 58, Issue 10, October 2010.
val error_norm :
?norm:string ->
?scaling:bool ->
?squared:bool ->
comp_cov:Arr.t ->
t ->
Py.Object.tComputes the Mean Squared Error between two covariance estimators. (In the sense of the Frobenius norm).
Parameters ---------- comp_cov : array-like of shape (n_features, n_features) The covariance to compare with.
norm : str The type of norm used to compute the error. Available error types:
scaling : bool If True (default), the squared error norm is divided by n_features. If False, the squared error norm is not rescaled.
squared : bool Whether to compute the squared error norm or the error norm. If True (default), the squared error norm is returned. If False, the error norm is returned.
Returns ------- The Mean Squared Error (in the sense of the Frobenius norm) between `self` and `comp_cov` covariance estimators.
val fit : ?y:Py.Object.t -> x:Arr.t -> t -> tFits the Oracle Approximating Shrinkage covariance model according to the given training data and parameters.
Parameters ---------- X : array-like of shape (n_samples, n_features) Training data, where n_samples is the number of samples and n_features is the number of features. y not used, present for API consistence purpose.
Returns ------- self : object
Get parameters for this estimator.
Parameters ---------- deep : bool, default=True If True, will return the parameters for this estimator and contained subobjects that are estimators.
Returns ------- params : mapping of string to any Parameter names mapped to their values.
Getter for the precision matrix.
Returns ------- precision_ : array-like The precision matrix associated to the current covariance object.
Computes the squared Mahalanobis distances of given observations.
Parameters ---------- X : array-like of shape (n_samples, n_features) The observations, the Mahalanobis distances of the which we compute. Observations are assumed to be drawn from the same distribution than the data used in fit.
Returns ------- dist : array, shape = n_samples, Squared Mahalanobis distances of the observations.
val score : ?y:Py.Object.t -> x_test:Arr.t -> t -> floatComputes the log-likelihood of a Gaussian data set with `self.covariance_` as an estimator of its covariance matrix.
Parameters ---------- X_test : array-like of shape (n_samples, n_features) Test data of which we compute the likelihood, where n_samples is the number of samples and n_features is the number of features. X_test is assumed to be drawn from the same distribution than the data used in fit (including centering).
y not used, present for API consistence purpose.
Returns ------- res : float The likelihood of the data set with `self.covariance_` as an estimator of its covariance matrix.
val set_params : ?params:(string * Py.Object.t) list -> t -> tSet the parameters of this estimator.
The method works on simple estimators as well as on nested objects (such as pipelines). The latter have parameters of the form ``<component>__<parameter>`` so that it's possible to update each component of a nested object.
Parameters ---------- **params : dict Estimator parameters.
Returns ------- self : object Estimator instance.
val shrinkage_ : t -> Py.Object.tAttribute shrinkage_: get value or raise Not_found if None.
val shrinkage_opt : t -> Py.Object.t optionAttribute shrinkage_: get value as an option.
val to_string : t -> stringPrint the object to a human-readable representation.
val show : t -> stringPrint the object to a human-readable representation.
val pp : Format.formatter -> t -> unitPretty-print the object to a formatter.