.. DO NOT EDIT. .. THIS FILE WAS AUTOMATICALLY GENERATED BY SPHINX-GALLERY. .. TO MAKE CHANGES, EDIT THE SOURCE PYTHON FILE: .. "auto_examples/covariance/plot_covariance_estimation.py" .. LINE NUMBERS ARE GIVEN BELOW. .. only:: html .. note:: :class: sphx-glr-download-link-note :ref:`Go to the end ` to download the full example code. or to run this example in your browser via Binder .. rst-class:: sphx-glr-example-title .. _sphx_glr_auto_examples_covariance_plot_covariance_estimation.py: ======================================================================= Shrinkage covariance estimation: LedoitWolf vs OAS and max-likelihood ======================================================================= When working with covariance estimation, the usual approach is to use a maximum likelihood estimator, such as the :class:`~sklearn.covariance.EmpiricalCovariance`. It is unbiased, i.e. it converges to the true (population) covariance when given many observations. However, it can also be beneficial to regularize it, in order to reduce its variance; this, in turn, introduces some bias. This example illustrates the simple regularization used in :ref:`shrunk_covariance` estimators. In particular, it focuses on how to set the amount of regularization, i.e. how to choose the bias-variance trade-off. .. GENERATED FROM PYTHON SOURCE LINES 17-21 .. code-block:: Python # Authors: The scikit-learn developers # SPDX-License-Identifier: BSD-3-Clause .. GENERATED FROM PYTHON SOURCE LINES 22-24 Generate sample data -------------------- .. GENERATED FROM PYTHON SOURCE LINES 24-38 .. code-block:: Python import numpy as np n_features, n_samples = 40, 20 np.random.seed(42) base_X_train = np.random.normal(size=(n_samples, n_features)) base_X_test = np.random.normal(size=(n_samples, n_features)) # Color samples coloring_matrix = np.random.normal(size=(n_features, n_features)) X_train = np.dot(base_X_train, coloring_matrix) X_test = np.dot(base_X_test, coloring_matrix) .. GENERATED FROM PYTHON SOURCE LINES 39-41 Compute the likelihood on test data ----------------------------------- .. GENERATED FROM PYTHON SOURCE LINES 41-59 .. code-block:: Python from scipy import linalg from sklearn.covariance import ShrunkCovariance, empirical_covariance, log_likelihood # spanning a range of possible shrinkage coefficient values shrinkages = np.logspace(-2, 0, 30) negative_logliks = [ -ShrunkCovariance(shrinkage=s).fit(X_train).score(X_test) for s in shrinkages ] # under the ground-truth model, which we would not have access to in real # settings real_cov = np.dot(coloring_matrix.T, coloring_matrix) emp_cov = empirical_covariance(X_train) loglik_real = -log_likelihood(emp_cov, linalg.inv(real_cov)) .. GENERATED FROM PYTHON SOURCE LINES 60-77 Compare different approaches to setting the regularization parameter -------------------------------------------------------------------- Here we compare 3 approaches: * Setting the parameter by cross-validating the likelihood on three folds according to a grid of potential shrinkage parameters. * A close formula proposed by Ledoit and Wolf to compute the asymptotically optimal regularization parameter (minimizing a MSE criterion), yielding the :class:`~sklearn.covariance.LedoitWolf` covariance estimate. * An improvement of the Ledoit-Wolf shrinkage, the :class:`~sklearn.covariance.OAS`, proposed by Chen et al. Its convergence is significantly better under the assumption that the data are Gaussian, in particular for small samples. .. GENERATED FROM PYTHON SOURCE LINES 77-95 .. code-block:: Python from sklearn.covariance import OAS, LedoitWolf from sklearn.model_selection import GridSearchCV # GridSearch for an optimal shrinkage coefficient tuned_parameters = [{"shrinkage": shrinkages}] cv = GridSearchCV(ShrunkCovariance(), tuned_parameters) cv.fit(X_train) # Ledoit-Wolf optimal shrinkage coefficient estimate lw = LedoitWolf() loglik_lw = lw.fit(X_train).score(X_test) # OAS coefficient estimate oa = OAS() loglik_oa = oa.fit(X_train).score(X_test) .. GENERATED FROM PYTHON SOURCE LINES 96-103 Plot results ------------ To quantify estimation error, we plot the likelihood of unseen data for different values of the shrinkage parameter. We also show the choices by cross-validation, or with the LedoitWolf and OAS estimates. .. GENERATED FROM PYTHON SOURCE LINES 103-151 .. code-block:: Python import matplotlib.pyplot as plt fig = plt.figure() plt.title("Regularized covariance: likelihood and shrinkage coefficient") plt.xlabel("Regularization parameter: shrinkage coefficient") plt.ylabel("Error: negative log-likelihood on test data") # range shrinkage curve plt.loglog(shrinkages, negative_logliks, label="Negative log-likelihood") plt.plot(plt.xlim(), 2 * [loglik_real], "--r", label="Real covariance likelihood") # adjust view lik_max = np.amax(negative_logliks) lik_min = np.amin(negative_logliks) ymin = lik_min - 6.0 * np.log((plt.ylim()[1] - plt.ylim()[0])) ymax = lik_max + 10.0 * np.log(lik_max - lik_min) xmin = shrinkages[0] xmax = shrinkages[-1] # LW likelihood plt.vlines( lw.shrinkage_, ymin, -loglik_lw, color="magenta", linewidth=3, label="Ledoit-Wolf estimate", ) # OAS likelihood plt.vlines( oa.shrinkage_, ymin, -loglik_oa, color="purple", linewidth=3, label="OAS estimate" ) # best CV estimator likelihood plt.vlines( cv.best_estimator_.shrinkage, ymin, -cv.best_estimator_.score(X_test), color="cyan", linewidth=3, label="Cross-validation best estimate", ) plt.ylim(ymin, ymax) plt.xlim(xmin, xmax) plt.legend() plt.show() .. image-sg:: /auto_examples/covariance/images/sphx_glr_plot_covariance_estimation_001.png :alt: Regularized covariance: likelihood and shrinkage coefficient :srcset: /auto_examples/covariance/images/sphx_glr_plot_covariance_estimation_001.png :class: sphx-glr-single-img .. GENERATED FROM PYTHON SOURCE LINES 152-160 .. note:: The maximum likelihood estimate corresponds to no shrinkage, and thus performs poorly. The Ledoit-Wolf estimate performs really well, as it is close to the optimal and is not computationally costly. In this example, the OAS estimate is a bit further away. Interestingly, both approaches outperform cross-validation, which is significantly most computationally costly. .. rst-class:: sphx-glr-timing **Total running time of the script:** (0 minutes 0.366 seconds) .. _sphx_glr_download_auto_examples_covariance_plot_covariance_estimation.py: .. only:: html .. container:: sphx-glr-footer sphx-glr-footer-example .. container:: binder-badge .. image:: images/binder_badge_logo.svg :target: https://mybinder.org/v2/gh/scikit-learn/scikit-learn/main?urlpath=lab/tree/notebooks/auto_examples/covariance/plot_covariance_estimation.ipynb :alt: Launch binder :width: 150 px .. container:: sphx-glr-download sphx-glr-download-jupyter :download:`Download Jupyter notebook: plot_covariance_estimation.ipynb ` .. container:: sphx-glr-download sphx-glr-download-python :download:`Download Python source code: plot_covariance_estimation.py ` .. container:: sphx-glr-download sphx-glr-download-zip :download:`Download zipped: plot_covariance_estimation.zip ` .. include:: plot_covariance_estimation.recommendations .. only:: html .. rst-class:: sphx-glr-signature `Gallery generated by Sphinx-Gallery `_