[R] A covariance shrinkage approach designed to crosscov matrices

Hi everyone, I recently worked on a method that extends typical covariance shrinkage approaches used for covariance estimation (applied to ensemble-based data assimilation). My motivation comes from the fact that most shrinkage estimators, such as OAS or Ledoit-Wolf (e.g., the implementations in scikit-learn), focus on improving the estimate of the full covariance matrix. In many applications, however, we are actually interested in submatrices of this covariance, especially cross-covariances between two different sets of variables, such as the input/output of a model.