The eigenspectrum for linear shrinkage as a function of N_JK is compared to the eigenspectrum of the sample covariance (black dashed line). In the bottom subplot we show the ratio with respect to the sample covariance. The solid lines represents the mean and the envelopes the spread (i.e. 95% confidence interval) from ten realisations. In the inset subplot we show the mean and standard deviation for the scalar shrinkage intensity λ as a function of N_JK, showing that increasing N_JK leads to a smaller (non-zero) and better constrained λ. This more constrained λ leads to a more precise covariance, for instance the eigenspectrum shows less spread between realisations.