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Python implementation of a sample covariance matrix shrinkage experiment

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Name		Name	Last commit message	Last commit date
Latest commit History 77 Commits
core		core
img		img
NorthfieldAlpha.pdf		NorthfieldAlpha.pdf
covCor.asv		covCor.asv
covCor.m		covCor.m
covargs.mat		covargs.mat
documentation.docx		documentation.docx
honey i shrunk the covariance matrix.pdf		honey i shrunk the covariance matrix.pdf
index.xlsx		index.xlsx
sample_homework.pdf		sample_homework.pdf
shrinkage.docx		shrinkage.docx
shrinkage.xlsx		shrinkage.xlsx
snakes on a plane.pdf		snakes on a plane.pdf
variables and notes.xlsx		variables and notes.xlsx
weights.xlsm		weights.xlsm

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Python implementation of a sample covariance matrix shrinkage experiment

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Python 97.7%
MATLAB 2.3%