Hi Korr,
This may be off topic or it may be spot-on and maybe even something P123 could use.
Anyway, it has always seemed like you understand correlation Matrices better than most. In that regard, do you happen to use Leidolt-Wolf shrinkage? I will stop there as I would actually be interested ni anything you might say on the subject (shrinkage or not and/or Leidot-Wolf or not).
I can use it easily in some of the Python programs—and probably will. It is easy to enter this matrix as some of the other matrices (e.g., semi-variant).
Besides ChatGPT thinks I am just a stupid human if I do not 
Said so this morning in fact (perhaps in not so many words).
Thanks,
Jim