Covariance estimation: Concept map

Many statistical problems require the estimation of a population’s covariance matrix, which can be seen as an estimation of data set scatter plot shape. Most of the time, such an estimation has to be done on a sample whose properties (size, structure, homogeneity) have a large influence on the estimation’s quality. The sklearn.covariance package provides tools for accurately estimating a population’s covariance matrix under various settings.