.. _sphx_glr_auto_examples_covariance:

.. _covariance_examples:

Covariance estimation
---------------------

Examples concerning the :mod:`sklearn.covariance` module.



.. raw:: html

    <div class="sphx-glr-thumbnails">


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    <div class="sphx-glr-thumbcontainer" tooltip="The usual covariance maximum likelihood estimate can be regularized using shrinkage. Ledoit and...">

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  .. image:: /auto_examples/covariance/images/thumb/sphx_glr_plot_lw_vs_oas_thumb.png
    :alt:

  :ref:`sphx_glr_auto_examples_covariance_plot_lw_vs_oas.py`

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      <div class="sphx-glr-thumbnail-title">Ledoit-Wolf vs OAS estimation</div>
    </div>


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    <div class="sphx-glr-thumbcontainer" tooltip="This example shows covariance estimation with Mahalanobis distances on Gaussian distributed dat...">

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  .. image:: /auto_examples/covariance/images/thumb/sphx_glr_plot_mahalanobis_distances_thumb.png
    :alt:

  :ref:`sphx_glr_auto_examples_covariance_plot_mahalanobis_distances.py`

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      <div class="sphx-glr-thumbnail-title">Robust covariance estimation and Mahalanobis distances relevance</div>
    </div>


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    <div class="sphx-glr-thumbcontainer" tooltip="The usual covariance maximum likelihood estimate is very sensitive to the presence of outliers ...">

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  .. image:: /auto_examples/covariance/images/thumb/sphx_glr_plot_robust_vs_empirical_covariance_thumb.png
    :alt:

  :ref:`sphx_glr_auto_examples_covariance_plot_robust_vs_empirical_covariance.py`

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      <div class="sphx-glr-thumbnail-title">Robust vs Empirical covariance estimate</div>
    </div>


.. raw:: html

    <div class="sphx-glr-thumbcontainer" tooltip="When working with covariance estimation, the usual approach is to use a maximum likelihood esti...">

.. only:: html

  .. image:: /auto_examples/covariance/images/thumb/sphx_glr_plot_covariance_estimation_thumb.png
    :alt:

  :ref:`sphx_glr_auto_examples_covariance_plot_covariance_estimation.py`

.. raw:: html

      <div class="sphx-glr-thumbnail-title">Shrinkage covariance estimation: LedoitWolf vs OAS and max-likelihood</div>
    </div>


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    <div class="sphx-glr-thumbcontainer" tooltip="Using the GraphicalLasso estimator to learn a covariance and sparse precision from a small numb...">

.. only:: html

  .. image:: /auto_examples/covariance/images/thumb/sphx_glr_plot_sparse_cov_thumb.png
    :alt:

  :ref:`sphx_glr_auto_examples_covariance_plot_sparse_cov.py`

.. raw:: html

      <div class="sphx-glr-thumbnail-title">Sparse inverse covariance estimation</div>
    </div>


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    </div>


.. toctree::
   :hidden:

   /auto_examples/covariance/plot_lw_vs_oas
   /auto_examples/covariance/plot_mahalanobis_distances
   /auto_examples/covariance/plot_robust_vs_empirical_covariance
   /auto_examples/covariance/plot_covariance_estimation
   /auto_examples/covariance/plot_sparse_cov