Conditioned covariance

Conditioned covariance estimators for portfolio allocation: sample covariance (sample_cov), Ledoit-Wolf shrinkage (ledoit_wolf), exponentially weighted covariance (ewma_cov), factor-model covariance (factor_cov) and Marchenko-Pastur eigenvalue denoising (denoise_cov).

sample_cov(X[, ddof])	Sample covariance matrix of a returns panel.
ledoit_wolf(X[, target])	Ledoit-Wolf linear shrinkage covariance estimator.
ewma_cov(X[, halflife])	RiskMetrics-style exponentially weighted covariance matrix.
factor_cov(X[, n_factors])	Statistical factor-model covariance (low-rank + diagonal).
denoise_cov(sigma, n_obs[, method])	Marchenko-Pastur eigenvalue clipping on the correlation matrix.