coloring_matrix = cholesky(real_cov) n_samples_range = np.arange(6, 31, 1) repeat = 100 lw_mse = np.zeros((n_samples_range.size, repeat)) oa_mse = np.zeros((n_samples_range.size, repeat)) lw_shrinkage = np.zeros((n_samples_range.size, repeat)) oa_shrinkage = np.zeros((n_samples_range.size, repeat)) for i, n_samples in enumerate(n_samples_range): for j in range(repeat): X = np.dot( np.random.normal(size=(n_samples, n_features)), coloring_matrix.T) lw = LedoitWolf(store_precision=False) lw.fit(X, assume_centered=True) lw_mse[i,j] = lw.mse(real_cov) lw_shrinkage[i,j] = lw.shrinkage_ oa = OAS(store_precision=False) oa.fit(X, assume_centered=True) oa_mse[i,j] = oa.mse(real_cov) oa_shrinkage[i,j] = oa.shrinkage_ # plot MSE pl.subplot(2,1,1) pl.errorbar(n_samples_range, lw_mse.mean(1), yerr=lw_mse.std(1), label='Ledoit-Wolf', color='g') pl.errorbar(n_samples_range, oa_mse.mean(1), yerr=oa_mse.std(1), label='OAS', color='r') pl.ylabel("MSE") pl.legend(loc="upper right")
coloring_matrix = cholesky(real_cov) n_samples_range = np.arange(6, 31, 1) repeat = 100 lw_mse = np.zeros((n_samples_range.size, repeat)) oa_mse = np.zeros((n_samples_range.size, repeat)) lw_shrinkage = np.zeros((n_samples_range.size, repeat)) oa_shrinkage = np.zeros((n_samples_range.size, repeat)) for i, n_samples in enumerate(n_samples_range): for j in range(repeat): X = np.dot(np.random.normal(size=(n_samples, n_features)), coloring_matrix.T) lw = LedoitWolf(store_precision=False) lw.fit(X, assume_centered=True) lw_mse[i, j] = lw.mse(real_cov) lw_shrinkage[i, j] = lw.shrinkage_ oa = OAS(store_precision=False) oa.fit(X, assume_centered=True) oa_mse[i, j] = oa.mse(real_cov) oa_shrinkage[i, j] = oa.shrinkage_ # plot MSE pl.subplot(2, 1, 1) pl.errorbar(n_samples_range, lw_mse.mean(1), yerr=lw_mse.std(1), label='Ledoit-Wolf', color='g') pl.errorbar(n_samples_range,