pyriemann.utils.covariance.covariances

pyriemann.utils.covariance.covariances(X, estimator='cov', **kwds)

Estimation of covariance matrix.

Parameters
Xndarray, shape (n_matrices, n_channels, n_times)

Multi-channel time-series.

estimator{‘corr’, ‘cov’, ‘hub’, ‘lwf’, ‘mcd’, ‘oas’, ‘sch’, ‘scm’, ‘stu’, ‘tyl’}, default=’scm’

Covariance matrix estimator [est]:

  • ‘corr’ for correlation coefficient matrix [corr] supporting complex inputs,

  • ‘cov’ for numpy based covariance matrix [cov] supporting complex inputs,

  • ‘hub’ for Huber’s M-estimator based covariance matrix [mest] supporting complex inputs,

  • ‘lwf’ for Ledoit-Wolf shrunk covariance matrix [lwf],

  • ‘mcd’ for minimum covariance determinant matrix [mcd],

  • ‘oas’ for oracle approximating shrunk covariance matrix [oas],

  • ‘sch’ for Schaefer-Strimmer shrunk covariance matrix [sch],

  • ‘scm’ for sample covariance matrix [scm],

  • ‘stu’ for Student-t’s M-estimator based covariance matrix [mest] supporting complex inputs,

  • ‘tyl’ for Tyler’s M-estimator based covariance matrix [mest] supporting complex inputs,

  • or a callable function.

For regularization, consider ‘lwf’ or ‘oas’. For robustness, consider ‘hub’, ‘mcd’, ‘stu’ or ‘tyl’.

**kwdsoptional keyword parameters

Any further parameters are passed directly to the covariance estimator.

Returns
covmatsndarray, shape (n_matrices, n_channels, n_channels)

Covariance matrices.

References

est

https://scikit-learn.org/stable/modules/covariance.html

corr

https://numpy.org/doc/stable/reference/generated/numpy.corrcoef.html

cov

https://numpy.org/doc/stable/reference/generated/numpy.cov.html

lwf

https://scikit-learn.org/stable/modules/generated/sklearn.covariance.ledoit_wolf.html

mcd

https://scikit-learn.org/stable/modules/generated/sklearn.covariance.MinCovDet.html

mest(1,2,3)

pyriemann.utils.covariance.covariance_mest()

oas

https://scikit-learn.org/stable/modules/generated/sklearn.covariance.OAS.html

sch

pyriemann.utils.covariance.covariance_sch()

scm

https://scikit-learn.org/stable/modules/generated/sklearn.covariance.empirical_covariance.html