Mateusz Baran

Sorry but I can't find it, could you paste a link here?

OK, I see it now :+1: .

Sorry for this delay but it looks like it still requires a considerable amount of work. I don't currently need covariance estimation for anything so I keep prioritizing other tasks.

I don't quite understand how would that work. Implemented formulas for covariance shrinkage assume normal covariance and a specific shrinkage target. Wouldn't using weighted covariance lead to wrong shrinkage coefficients?

StatsBase.jl has its own approach to weights and it looks nicer. I think it would be good to have a similar design here.

Yes, it would be very useful, but I still don't know if it's even possible to have generic implementation for all types of weights. Frequency weights should be relatively easy...

Unfortunately, I don't know how to modify Ledoit-Wolf to make it work with `AnalyticWeights`. If you find a paper about it, I will definitely like to see it.

Bump? This caused some issues: https://github.com/JuliaManifolds/Manopt.jl/pull/113#issuecomment-1059336114 .

OK, I see. Thanks for explaining the situation :+1: .

Instead of `Vector` of points you may also consider using our power manifold: https://juliamanifolds.github.io/Manifolds.jl/stable/manifolds/power.html . It has the benefit of directly supporting, for example, a vector of points on SO(2)...