CovarianceEstimation.jl is a new package for estimating covariance of given samples. It currently focuses on linear shrinkage methods (but has one nonlinear shrinkage algorithm) and is written in pure Julia.
There already is a similar package, CovarianceMatrices.jl but it calculates covariance of coefficient of regression models.
CovarianceEstimation.jl is also aiming to be more lightweight.
I would like to thank Thibaut Lienart for his valuable contributions. Thanks to his work the package turned out to be significantly faster than scikit-learn and corpcor.