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Normality prob_reconciler covariance_type possibility #99

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kdgutier opened this issue Oct 28, 2022 · 1 comment
Open

Normality prob_reconciler covariance_type possibility #99

kdgutier opened this issue Oct 28, 2022 · 1 comment

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@kdgutier
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It would be good to specify in the code the type of covariance estimator used by the Normality class.
Further in the future it would be good to add the capability to switch types of covariance estimator to the Normality reconciliator with a covariance_type input.

@elephaint
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This could be a worthwile addition, also for MinT-shrink, where we could have users choose the shrunk covariance estimator, e.g. based on Sklearn's covariance estimators.

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