Shrinkage Visualizer

Visualizing the Ledoit-Wolf estimator (p=50, n=20)

Sample Matrix (S)

Standard Maximum Likelihood Estimator.
Notice the noisy off-diagonal colors.

Shrinkage Matrix

(1 - α)S + αTarget
Noise is dampened towards the diagonal.

0.50
Raw Sample Perfect Diagonal
Vanilla JS + Tailwind Ledoit-Wolf Algorithm