Implementation of Shrinkage Estimators for Cosmological Precision Matrices#1
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andremov wants to merge 4 commits into
Open
Implementation of Shrinkage Estimators for Cosmological Precision Matrices#1andremov wants to merge 4 commits into
andremov wants to merge 4 commits into
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Implements Bodnar et al. (2016) direct precision shrinkage with four targets: identity, eigenvalue, cosmological, and a novel scaled-identity adaptation. All four variants match the Looijmans et al. (2024) reference implementation to machine precision.
Adds baseline shrinkage estimators for comparison against direct-precision variants: Ledoit-Wolf (2004) covariance shrinkage and NERCOME (Lam 2016) nonparametric eigenvalue-regularized covariance.
Adds an AR(1) power spectrum model used by the cosmological-target direct-precision shrinkage variant.
Wires the four direct-precision variants, Ledoit-Wolf, NERCOME, and the existing modified-Cholesky analysis into a minimal Lorenz-96 example.
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